You came for Demon Souls? But you want the full adventure? And choose to collect them yourself, through trial and error?
That is quite the challenge, but you should be aware that many of your actions are irreversible, at least until the next game cycle.
With that warning, here's a short list of things you should be aware of:
There are various types of NPCs in the game. Most are hostile, but a few are beneficial and even crucial to your game. Most of those that are in the Nexus are vital to success in the game.
In other areas you will meet vendors that will offer you special items as well as less special items. Others that you meet will eventually end up in the Nexus and offer help.
Many of the NPCs you meet throughout the game will give you perks, through payment, help or both.
If you should attack any NPC so they become hostile, they will stay hostile for the duration of the game, and the assistance they could have provided wll be lost. NPCs can become hostile if you accidentally roll into them, but definitely will if you attack them.
Archstones are the obilisk type stones that are in the Nexus, but they also appear as a Sword in the Stone in the worlds you visit once you have defeated a boss in that area. There is also one at the very beginning of Boletarian Palace. They are used as a way to transport from a world to the Nexus.
After completing an area of the game, a new archstone will appear, be sure you touch it to both collect the loot and activate it for access later.
Souls come in various types. There are those you get from killing foes that can be used as they are as currency. There are those that you will find along the way, that must be "used" to be turned into the currency type souls. And there are Boss Demon's Souls that can be traded for Spells, Miracles, and used to make weapons. Some Boss Demon's Souls can only be "used" to turn into currency. There is one other special type of souls that are fairly rare that can be used to upgrade weapons.
Souls are the currency of the game, and many special souls can be consumed to grant you a large number of normal souls.
One of these are Demon's Souls, which can be consumed, but they can also be made into powerful Weapons and Spells.
If you are in doubt, have a look at the Demon's Souls page for their usage (contains very mild spoilers if you only read about the usage).
Many advanced weapon upgrade paths are not explained in detail in the game, so looking at the Weapon Upgrades page could help you reap the benefits of your characters stats.
When playing online, other players can leave hints, which could be considered spoilers for some, also beware of false messages.
Summoning other players could also ruin the experience, as some will tear through the level like a whirlwind, spoiling most of the surprises.