In mission 4 I believe, the one where phantom chases you down the hall. Start the mission and head down the hall and get to the part where Phantom starts chasing you. As soon as he starts chasing you go into devil trigger and keep using vortex till he leaves. This'll get you 500 red orbs. Save and reset and keep doing it over and over as many times as you want.
To beat nightmare quickly when he transforms into the big bio-weapon and you can see his heart (a round ball thing) use the holy water and it should take off around a quarter of his health keep doing that and attack him while in devil trigger state.
On the save game screen there is a bit that says "Dante " and a number... This number goes up once you complete the game (Dante 00 - Dante 01 etc) IF you continue from your last file - if you complete normal difficulty then the game will automatically take you to Mission 1 on hard difficulty and although you lose all your items (Devil Stars, Holy Water etc) and only get 1 Vital Star you also get to keep all your life, Devil Triggers and weapons (if you continued - if not then you start with only the normal stuff)...
So, to get to the point... Try to get everything (all purple orbs and all blue orbs) before about mission 20 because the price goes WAY WAY up on hard mode and... i can only imagine the prices on the next difficulties! (for me, now (hard), it's 4000+ for a blue orb)
ok at the start you need to climb up to the castle, on your way take this time to practice and pick up the yellow orb, ok when you get to the castle itself you have to find 45 red orbs (they are scattered around the room) along with a blue orb fragment. ok to get all of the red orbs you need to use wall kick to do this jump at a wall with Triangle then hit Triangle again when your on the wall.
Mission 1 part II
while in this room use wall kick to get up onto the plane in the middle of the room to get your second blue orb, any way in the top right hand corner of the room you will find a sort of button slash it till it lights all up then you will be taken down to the lower levels and will have to fight around 20 - 25 marrionettes these are easy, then return up the lift and fight around 9 more then go through the door and you should clear the mission (try to do this mission within 2 and a half minutes with a few STYLISH combos).
to get this ability you must be in the 22 or 23 mission.in other words the misson were u fight mundis the first time. have the Sparda devil arm in use have some devil trigger gauges full and press R1 u will enter a small cutscene and take a chunck of his vitality.
P.S. you'll have to see how it looks like for yourself.