From Software and Sony Computer Entertainment say they've identified a fairly serious progression bug in Bloodborne, one that could impede your progress in the game — or at least cause you to miss out on a boss fight. A fix for that bug is incoming, Sony said in an email to Polygon, but for now it seems pretty easy to avoid it.
Spoilers about Bloodborne locations and boss names are incoming, so watch out. But to avoid the bug altogether, do not initiate a multiplayer session in the game's Forbidden Woods area by using either the Small Resonant Bell or Sinister Resonant Bell items.
Players have reported (and From Software has apparently confirmed) that the Lunarium Key, which would normally be found in Byrgenwerth, won't appear because of a multiplayer bug. Without the key, you can't visit Master Willem, the Moonside Lake and Rom the Vacuous Spider. So, best to avoid doing any multiplayer in Forbidden Woods until that's fixed.
From Software and Sony say a hotfix for Bloodborne, version 1.02, is incoming and will fix that issue. Expect it sometime next week.
Sony notes that the imminent update for Bloodborne will not include previously announced planned improvements to load times and performance; those refinements will be included later in a separate patch.