This can be unbelievably hard to do. Here are a few tips for things that worked for me.
1. Don't try getting the trophies for fully upgrading the three different skill trees in your Captain play-through. Maybe it's possible, but I would imagine it being horribly difficult. You'll need those skills to survive, so use them. Also, don't mess with the difficulty setting. I've heard of people who changed it or changed it back, even though they re-loaded prior saves, and didn't get the appropriate trophies. I can't confirm this, but to be safe, start on Captain and don't change it.
2. But, unless you're already preparing your character for the final boss, save a few skill points until the very end (inside the Worldheart, just before climbing up a ledge at the end). Save there, and you can keep re-loading and putting points into different areas that might help with the final boss. In particular, you need Ranger skills (fast movement, riposting, etc) and I found it also helpful to have upgraded fireballs and related skills (because it can help you conserve arrows). If you know exactly what you need for the final boss, you could prepare in advance I suppose.
3. I'll get to earlier parts in a moment, but for the final boss, you're going to want arrows and potions. Have as many health potions as possible (15, 20, the more the better). If you're going to also use fireballs (which you probably should), also have mana potions (10 or more). You'll want your fireballs upgraded. You'll want the best crossbow possible, and use the Ranger stance with the best blades. Use add-ons that add to physical damage, riposting, physical defense, and (if nothing else is available) critical hit % chance. I was able to add +15 to a crossbow that already had 40 damage, making it +55, which was helpful.
Also, have plenty of arrows. If you can get 250 or so, you might not need fireballs at all. If you have, say 125 arrows, you can get through the first phase of the battle with fireballs only and conserve your arrows. Have your fire spells upgraded, though, so you can get the most out of them. Have Ranger skills upgraded so you can riposte (dodge with Circle) and get quick counter-attacks before jumping away. If you've recycled most of your stuff, you can also make use of the Ranger skill to run during the battle, which helps in the Dragon phase. Use the same dodge (Circle) to easily avoid (even jump through) the multiple energy ball attacks during the non-dragon phase. I had to play this part so many times that I could almost get through the first phase without taking any damage at all. Learn to recognize when he "lights up" and is about to do a charge attack at you, so you can riposte and then get out of the way. In between energy shots, shoot fireballs or arrows at him. Use lock-on.
In the dragon phase, get up close to take out his two hands and head with arrows for higher damage. You can hit them too, but you open yourself up more to be hit back. The trick here is to make it go as quick as possible so there's less chance of him actually hitting you back. Use lock-on when you're closer, and switch body parts when one is defeated. The dragon will keep coming back, so the cycle just repeats until the main dude is dead. If in doubt, I found a pretty good video of this boss battle here:http://www.mygameslounge.com/blogs/ps3blogs/bound-by-flame-f...
Use Ranger stance for the entire battle. You may have spent points in Warrior stance to make it through prior parts of the game, but that will be no help here.
In my opinion, it's entirely possible to reach the end boss and NOT be able to beat him at all, if you don't have plenty of arrows, potions, the right weapons/upgrades, and the skill/feat distribution to make the most of the few things you have to focus on. If you played the game and fully upgraded the Warrior skill tree and didn't get feats related to crafting more arrows/potions and potion effectiveness, you might be stuck.
After the Dragon form, he will come right back at you, so be ready to riposte and continue as before. The dragon will fly around shooting an energy ball too, but as long as you're locked onto the main guy and riposting, firing away, you will "accidentally" avoid most of the dragon's attacks anyway. When hit, drink a potion. Depending on your defense, even two hits might kill you. Then, he'll go into invincible mode again,the dragon will come back, so you have to repeat that again. And again.
4. During the main part of the game, save frequently. In fact, when taking on groups of enemies, if you defeat one, try to move far enough away so that the battle ends and you can save, then go defeat the next one. Try to draw them away and fight one at a time. If you get surrounded, get out of there and recover. Talking to your companion usually does a "quick save" so you can save time by doing that too.
5. Use Warrior stance to heal more quickly, with the skills that make Warrior stance heal you fast. It can be a slog, but you may find it necessary to just stand at a safe distance and heal up naturally that way, or lock onto an enemy and run circles around them to heal (especially some of the bosses) before continuing the attack.
6. Learn blocking in Warrior stance and Riposting in Ranger stance. Most attacks can be blocked or riposted, and if you get it just right for the various enemy types, it can help a LOT. You will have to be patient, and if you're like me, you will die a lot too, which is where frequent saving comes into play.
7. When beating the game on Captain, you get the other two difficulty trophies as well.
8. Do the side quests and open all the chests you find. There is a feat that makes the game chirp at you when near one. Since many of the other feats are going to be worthless to you anyway, it's not a bad one to pick, to help find chests. The reason is, you're going to need those best weapons and upgrades when you reach the end boss.
9. When you're told that you're at the point of no return, at the end of Act 3, make sure you've either saved up plenty of potions and arrows, or the ingredients to craft them. There are feats that will allow you to craft a lot more of each, using less ingredients. You can sell your things for gold, or recycle all but the weapons you plan on using. To play it safe, you can keep all this on hand and then prepare just before the final battle, because you can beat Blackfrost and his clones (before even entering the Worldheart) without wasting your arrows and most of your potions.
10. There are at least two game-breaking bugs in Act 2, dealing with the Prince and with Randval's recon mission. The end result is that you might find yourself in a position where you're supposed to talk to the Prince to begin the last part of the Act, but when you talk to him, your only option is to exit. What's supposed to happen is an automatic scene when you walk up. Some have said the Prince is in two places at once (the other being the site where you find the King), but I'm not sure. I experienced this bug, and had to load a prior save (but luckily, I lost very little progress) to continue. If this happens -- the main quest is "talk to the prince" but nothing happens when you do and no auto-cutscene -- then there is no known way to "fix" it other than reloading a prior save.
11. Early on in the game, the Warrior stance can help. You can basically trade blows with the Deadwalkers, block, hit a couple more times, block, and take no damage at all. It helps to use weapons that are "faster" but I've seen at least one upgrade you can get that will let you upgrade the speed of an existing weapon.
12. Basically, just stick with it. It took me about 25 in-game hours to beat on Captain difficulty, but I'm guessing I lost 5 hours just in dying and starting from my most recent saves (if not more). Do what you have to to survive the main campaign, but by all means get familiar with what to expect out of the final boss so that you don't paint yourself into a corner without the skills and resources to tackle the battle.