What are the benefits of the covenants? Do they give stat boosts or just access to their shops?
Im just about to start heading down to the depths to aim for the 2nd bell and was wondering if ive missed a few boss battles or etc etc? Im trying to do as much as poss and level lots before venturing into new areas and dont want to miss things i wont bother about much later. Do you visit all bosses to progress through the game or can you miss most of them out?
Also is there much game after ringing the bell or is it close to final boss battle after 2nd bell?
Well, seeing as how the 2nd bell is in blighttown, if I recall, you'll want to be fairly strong before going down there. It's a frustrating area. (Levels 40-50, if I recall.)
You'll want to do the Depths regardless, but after finishing that area, do not go directly into Blighttown, go and level bit in Darkroot garden and basin, and do not forget to return to the Undead Asylum. If you want to and have the rusted iron ring, you can kill the hydra for some heavier armor and another ring, plus you can fight Havel in a nearby tower for his LIFESAVING ring, that raises your max equipment load by a considerable amount.
Once you enter blighttown, be prepared for one of the more annoying areas in the game. You will be poisoned a lot, so farm/buy some purple moss, and have it ready. There are also several entrances, through Darkroot basin, (There is a cave just past the dark knight you have to fight, complete with a bonfire) through the depths, and from Firelink/New Londo Ruins, where you go down the elevator, and go right up a nearby tower to the Valley of the Drakes, There'll be a small bridge, and you go across to enter Blighttown from the actual exit.
But then again, I'm still fairly new to the game myself, so others may have better advice.