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In order to get this, you need to have mastered one of every materia in the game and have them all either equipped or in your inventory. This includes learning every Enemy Skill (has to be the same piece of materia), and mastering every Master materia too.

Some materia IS missable, however:
Ultima is obtained only if you stop the train in North Coral during the Huge Materia sidequest or at least board it. If you fail to stop the train, you will have to buy Ultima, but if you fail to even board the train, you will not get Ultima.
Morph can only be found in the Temple of the Ancients. (This also makes Underwater missable, since you need Morph to get the item to trade with the Kalm Traveler).
Bahamut can only be found in the Temple of the Ancients.
Bahamut ZERO requires both Bahamut, Neo-Bahamut, and all pieces of Huge Materia.
Ifrit can only be found in the Cargo Ship after defeating Jenova.
Leviathan is obtainable only by defeating Godo in the Pagoda sidequest.
Neo-Bahamut can only be found in the Whirlwind Maze.
Ramuh can only be found in the Chocobo Racing Lounge.
Added Effect can only be found in the Cave of the Gi.
Elemental can be found in Shinra Headquarters Floor 62 if you guess Mayor Domino's password on the first try, in Mt. Nibel, or if you play Tifa's piano with Tifa as the party leader.
HP Absorb can be found in Wutai and in Northern Cave.
MP Absorb can be found only in Wutai Item Shop during the stolen materia sidequest.
MP Turbo can only be found in the Whirlwind Maze.
Steal as Well can only be found in the cave in Da-Chao in Wutai, and the only way to access it is by having the Leviathan Scales in your possession, which can only be found in the submarine bay in the Underwater Reactor. Once you board the submarine this item is lost forever.
Luck Plus can only be found in the Temple of the Ancients

Full list of materia is as follows: -

Magic Materia:
Barrier
Contain
Comet
Destruct
Earth
Exit
Fire
Full Cure
Gravity
Heal
Ice
Lightning
Fire
Mystify
Poison
Restore
Revive
Seal
Shield
Time
Transform
Ultima
Master Magic

Command:
Deathblow
Double Cut
Enemy Skill
Manipulate
Mime
Morph
Sense
Slash-All
Steal
Throw
W-Item
W-Magic
W-Summon
Master Command

Summon:
Alexander
Bahamut
Bahamut ZERO
Choco/Mog
Hades
Ifrit
Kujata
Knights of the Round
Leviathan
Neo-Bahamut
Odin
Phoenix
Ramuh
Shiva
Titan
Typhon
Master Summon

Support:
Added Cut
Added Effect
All
Counter
Elemental
Final Attack
HP Absorb
Magic Counter
MP Absorb
MP Turbo
Quadra Magic
Sneak Attack
Steal as Well

Independent:
Chocobo Lure
Counter Attack
Cover
Enemy Away
Enemy Lure
EXP Plus
HP<->MP
HP Plus
Gil Plus
Long Range
Luck Plus
Magic Plus
Mega All
MP Plus
Pre-Emptive
Speed Plus
Underwater (has no levels so is technically mastered by default)

List of Enemy Skills (have to all be learned on the same piece of Enemy Skill materia):
Frog Song
L4 Suicide
Magic Hammer
White Wind
Big Guard
Angel Whisper
Dragon Force
Death Force
Flamethrower
Laser
Matra Magic
Bad Breath
Beta
Aqualung
Trine
Magic Breath
????
Goblin Punch
Chocobuckle
L5 Death
Death Sentence
Roulette
Shadow Flare
Pandora's Box

(Both Trine and Pandora's Box are missable.)