I wasn't all that far into Dragon Age: The Veilguard when I realised I'd been locked out of a sidequest unexpectedly. It was after the first significant event in the game where you, of course, have to make a big decision that has some longer-lasting repercussions. But if you're not paying attention to your quest log, you might not notice that some quests disappear into the completed section with a little entry above them saying something along the lines of "You can no longer complete this because this event has happened".
This occurs throughout the game, and in-particular, affects faction and companion quests—essentially the two most important quest types for if you want to gain allies, faction reputation, or even romance a specific character in the game. One to look out for in-particular is Taash.
Since she's one of the last companions you recruit, you won't actually have all that long to complete some of her companion quests, namely Fire On the Sands and A Little Dragon Hatches, before moving the main story along. Missing out on those might adversely affect your chances at romancing her if you miss them. Davrin's first companion quest can also disappear if you don't get it done.
Other quests might disappear depending on certain choices, such as the faction quest, A Slow Poison, which can be cut off by the first big decision you make. That said, this same choice also opens up different quests you can follow, so it encourages multiple playthroughs instead of a completionist mindset.
While I'm not going to spoil details of big in-game events, I will provide a short list here of the quest names prior to each big event and the quests that they can potentially lock so you know when to save or take some time finishing them off:
- A Warden's Best Friend: Complete A Slow Poison before this plus any follow up quests
- A Change On the Wind: Complete Davrin's first quest plus Taash's Fire On the Sands before this
- A Fighting Chance: Complete Taash's A Little Dragon Hatches before this
- Blood of Arlathan: Complete Davrin's Hope on the Wing quest before this
It's likely that there are more companion quests that are locked by these events since they often unlock in order, but these are the main companion and faction ones I found. If you generally just watch out for the quests that direct you to gather everyone together in the Lighthouse, these are usually significant ones that move the main plot along.