So I want to make a character and then play the game while completing as much of it as possible in one play-through.
Anyone care to tell me what I should do?
How should I allocate my SPECIAL, my initial skills? I want to be able to do speech/lock-pick/hacking challenges.
Allocate your SPECIAL and skill points as best matches your playing style. If you're diligent about picking up magazines and skillbooks, you won't need to take Science/Lockpick higher than 80 (if you take the "Comprehension" perk; 90 if you don't) and that's only to get at a couple of "very hard" terminals/locks. If you just want to get most of them, you can stop at 55 (with Comprehension). The same applies to Speech - there are very few Speech challenges that require more than a 75 in the skill and most are 60 or below. While Speech challenges open up some easier ways of completing quests, they are not strictly necessary to complete the vast majority of quests.
What story decisions should I make - eg who should I side with for main plot - feel free to spoil any further story decisions that I may have to make other than this.
Side with whomever you want. You can stretch it out and "sit on the fence" for most of the game simply by taking out Benny and then NOT collecting the chip from him. This is especially true for the Legion. Build up lots of positive rep with everyone else by completing their quests. The Legion will hate you until you pick up the chip, which resets your rep with them to "Neutral". If you want to make your life slightly easier, don't pick it up until you're ready to head into the endgame, but do any other quests you want in the meantime.
What should I be on the lookout for? Should I attempt to get all companions first to make sure they don't die? Anything else you can think of that I should be on the lookout for etc would help!
Be on the lookout for anything that makes your life easier. Companions only die in hardcoe mode, and even then nothing says that they need to be alive at the end of the game. I'd try to keep them alive long enough to complete their personal questlines, though. You do not need to have them with you to get their perks (well, except Veronica; hers does kind of require close proximity), so you can stash them somewhere and do whatever needs to be done without worrying about whether they'll get shot up. You'll miss out on a few dialogs, but nothing that's a real quest-killer. I noticed that they have an annoying tendency to teleport to your location when they are in your group and their dialogs ARE critical to your mission, but that's very rare and might have just been a hiccup on my system. If you're playing hardcoe and have acquired the Lucky 38 suite, be sure to remove them (send them to the Lucky 38) before starting the "Dead Money" DLC. Otherwise you'll need to go round them up again when you're done.
Beyond all of that, have a good time. It's what the game's all about, after all.