Easy "INVESTIGATOR" achievement
If you are missing the final Materia and you have checked every level, the missing one is probably in the last level, "Frankie". It does not always appear in the level. Keep restarting that level until it appears.
Easy "TEAM PLAYER" achievement
You do not need to play through an entire game in co-op mode. After completing the game in single player mode, complete any level in co-op mode.