Best advice I can give is enter all grates you see - the ones on the walls and the ones on the floor that you have to stand on to open. Also, whenever you see something that looks odd, scan it. If you search every area you might find one of his maps, which helps immensely since it will show little green question marks wherever his clues are.
There are 240 Riddler items in the game, so it's definitely worth exploring every nook and cranny to get as many as possible from the very beginning of the game, especially since some of them unlock additional features.
Also, you will see areas that you can break in with an explosion when you're in detective mode - you have to get the exploding gel from the Batmobile to blow these open. Don't worry - you can't miss the Batmobile since it will be one of your mission objectives.
You'll also run into breakable walls that you can't reach - you will get a way to break these open later in the game, so try to remember where they are.