Yes you have to do it all in one playthrough. That is not to say, you can't save, quit and come back to the same save later. It just means you can't kill a combination of enemies from 2 seperate saves for the achievement.
All the commonly missed enemies are listed on the first page. However, I did remember something that may be worth noting. Did you kill the balloons in Tornado Man's stage by shooting the face or by shooting the balloon itself, causing them to zip around the screen? If you did the latter, then you didn't actually 'kill' the enemy. You must shoot the face.
I've added the balloon enemy to the list of enemies in the guide now.
Last edited by Dstrukt; 10-12-2008 at 04:36 AM.