There are loads of side missions in Batman: Arkham City. One may come across any of them at any time while trying to achieve the main objective. Does any of the side missions ever affect the main objective? Can I leave the main objective at any time and head for a side mission without having a disadvantage?
Side missions act as supplements to the main storyline, and will not affect your main objectives. While there is some overlap with the main story at some points (at least two of the side missions won’t unlock until you get far enough into the main game), you will never be disadvantaged by doing one versus the other.
You will find that as you go through the game, there are doors/areas that you will not be able to access as they are a part of a sidequest, and will only be available to you when appropriate. You will never need to access these areas to finish the main story.