Bloodborne players take heed - a recently identified bug could bar you from a significant portion of the game. Thankfully, the issue only seems to occur under specific play circumstances, so as long as you take care to avoid them you should be fine.
Minor spoilers lie ahead, so here's the short version for purists: don't do multiplayer in the Forbidden Woods until you download patch 1.02.
Now the more detailed version: Sony confirmed to Polygon that using a Small Resonant Bell or Sinister Resonant Bell to join a multiplayer session in the Forbidden Woods may prevent the Lunarium Key from appearing in Byrgenwerth. The key ultimately opens the way to Master Willem, the Moonside Lake, and its resident boss, Rom the Vacuous Spider, so you definitely don't want it to disappear before you can grab it.
From Software and Sony Computer Entertainment Japan are working on a hotfix to resolve the issue, expected to arrive next week. You should be safe as long as you fly solo in the Forgotten Woods until then (as safe as you can ever be in Yharnam, anyway).
The studios are also working on a patch to reduce load times and improve overall performance, but you'll have to wait a bit longer for that one.