You must get all Diaries in Welcome to Rapture and Rapture Central Control on your first time through those areas, because you cannot go back to them later. All other areas are accessible via the Bathysphere until right before the end of the game, and you'll get a warning message when you are at the point of no return.
Note: The audio diary "First Encounter" is glitched. You get it in Arcadia, but you may not see it in your list in the correct place. If you don't, don't panic - it shows up under Smuggler's Hideout.
