Talk about everything, raise every subject, sometimes totally ridiculous matter can be important. If you have a feeling that you've missed something, talk with the character again.
It doesn't matter that some of the dialogue's options are alternative - if you can't come back to the line, it's not important for the plot. You don't miss the important ones.
Quicker and more convenient is to use mouse scroll wheel for choosing an inventory than just move the cursor down.
Not every object you will take is useful but is worth to examine every item in the inventory (RMB), several times you will find another one.
Randal can't run, but two clicks on LMB will make him moving faster from location to location. Use the same solution to shorten subway trip.
Game guide color marks
All objects you need to take are marked in red, achievements - green, the puzzle solutions and important information are bolded.