First of all, this is a tough game. If it weren't for the save/load, the 'Game Win 3' achievement might be one of the hardest achievements out there. ***, even with the save/load, it's still pretty frustrating at times.
Here is a guide that will get you through the game. It points out all the secret spots you need for some of the achievements. I will reference this guide several times, so go ahead and open it up in a new window (Shift + Click). Credit goes to Lord Alan for writing it.
I will put these in the order that you can first get them. You should be able to get all but one in one play through (sort of).
Octopus Avoider - Pass the Undercaves without being hit by an Octopus. (15)
About two-thirds of the way through The Undercaves, you will encounter an octopus. You must pass by him without getting hit by his tentacle, which he will swing at you if you try to rush past him. Align yourself so that you are facing straight up between the spikes on the left and the tentacle on the right. Slowly move straight up. Once you are past him, you will have to go back past him the oppisite direction (down). Use the same slow movements. This is the only octopus in the level and the achievement will unlock when you beat it (not when you pass the octopus).
Undercaves Survival - Pass the Undercaves without dying once. (5)
The Undercaves is the 3rd level you encounter. Simply pass this level without dying
Death Sonar - Aquire the Death Sonar. (10)
You can aquire the Death Sonar in 'The Vents' (the fourth level) by rescuing all of the dolphins in the level. Talk to the original dolphin to receive your reward (and achievement).
NOTE: If you want to get all of the achievements quickly, make two save points when you start this level. With one save point, rescue the dolphins and get the Death Sonar. Get the 'Sonar User' and 'Shark Killer' achievements. Then, revert to your other save and redo this level without saving the dolphins so you can get the 'Sonar Free' acheivement.
Sonar User - Kill 30 enemies with the Death Sonar. (10)
As soon as you receive the Death Sonar reward, find some jellyfish (there are a few in one of the pools between the islands you must jump over). Simply kill them with the Death Sonar (press X, then B quickly). Swim away and return and the jellyfish will have respawned. Repeat this until you have killed 30 and the achievement will unlock. Or you could just simply play through the game and there will be hundreds of opportunities to use your Death Sonar.
Shark Killer - Kill 10 Sharks in a row. (10)
The easiest way to do this is to complete The Vents level with Death Sonar. In the the very next level, you will start out in shark infested waters. Just swim straight down to find a couple of them. They take 3-4 Death Sonar shots to kill. Swim away and return and they will respawn. Kill 10 without killing anything else; the achievement will unlock immediately.
You don't need death sonar to kill the sharks...you can just ram them a few times. This could be easily achieved in the Open Ocean (level 7), where there are a ton of sharks that only take one ram to kill.
NOTE: At this point revert back to your other save point (before you got Death Sonar) if you want the Sonar Free Achievement.
Ecco the Hero - Rescue the dolphin family in The Lagoon level. (10)
The Lagoon is the 5th level in the game. It immediately follows The Vents (where you received Death Sonar). Use the guide to walk you through how to save all of the dolphins. You will receive a reward (and the achievement) once the last dolphin is returned to its mother (?). The reward is Confuse Sonar. It is similar to Death Sonar in that it stuns sharks temporarily. It can not kill anything, however. Using this reward will not affect the Sonar Free achievement.
Life Saver - Reach Ridge Water without dying. (10)
Ridge Water is the 6th level of the game. Get to this level without dying. You can use the save/load feature if you like.
Big Blue Message - Find the glyph in Island Zone that tells you to find Big Blue. (50)
Island Zone is the 11th level of the game. Follow the intructions in the guide for this level, including the "*SUPER FUN OPTIONAL OPTION!*" portion. The achievement will unlock immediately.
Songs in the Sea - Find the hidden glyph in Origin Beach ("Never have we heard..."). (15)
Origin Beach is the 19th level of the game. The instructions in the guide aren't very exact, so here's what I did after that didn't work:
When you start the level, immediately swim all the way to the left until you hit the rock wall. Swim up to the surface. You will see some plants (or something) a little to the right. Jump out of the water right where the plants begin and shoot a sonar toward the top left of the screen (toward the rock wall). It may take a couple of tries. You will hear it ping when you get it, the message will appear, and the achievement will unlock immediately.
Sonar Free - Reach the Dark Water Level without the Death Sonar. (35)
Dark Water is the 21st level of the game. Play through the game up to this point without aquiring Death Sonar. And since you made it this far without it, you might as well go ahead and beat the game. The achievement will unlock as soon as the level begins.
Game Win 3 - Complete the game without dying more than 3 times. (20)
Beat the game ONE time. And in the process of doing that, don't die 4 times. Without the save/load feature of the Sega games, this one would be very tough. This achievement will unlock AFTER you beat the final boss (on level 27) and AFTER the ending scene. The ending takes a couple of minutes, so be patient. It should unlock before the credits roll.
Game Win 2x - Complete the game 2 times. (10)
I don't think you can get this achievement by just saving on the final boss and loading it up after you beat it the first time. I tried and the achievement doesn't unlock. Unless I screwed up, this means you must play through the WHOLE game twice.
Either that or this achievement is glitched. It probably won't be long before someone figures it out.
-Andy