There isn't a lot of stuff worth going out of your way for. The merchant in the undead burge (I think) drops the Uchigatana, and Shiva of the East (outside the forest covenant) and his ninja bodyguard drop some nice loot (sword, shield, and ninja ring). There are also a few black phantom NPC invaders who drop some unique weapons and armor (one of them has a giant hat like the one you get from the 3-3 monk in Demon's Souls), and if you plan on collecting every item, it's probably best to farm them before going into NG+ (especially the channeler's trident). Other than that, just make sure you collect all of the titanite slabs you can, since there are only 1 or 2 of them in each cycle. And get as many Fire Keeper souls as you can, so you can max out your Estus ASAP in NG+.
And you can farm all of the Black Knight weapons in Kiln. The Great Axe is amazing if you have high strength.