Got in 2 solid play sessions so far. Game is so freaking good.
One thing I liked in the Sand Kingdom is that I found a small room where a guy told me there was a moon that I could find using the HD rumble. Later, after finding that moon, I see a little doggie who leads me somewhere, where I notice the same rumble. I ground pound, like in the little room earlier, and there's another moon. Even later, I'm just walking around when I feel another rumbling, ground pound, and find another moon.
That particular progression of moons basically taught me that 1) you can find moons via rumble and ground pounds, then 2) you can find them any where in the level.
Also I was surprised in how little the lede was burried. You get to be a T-Rex very early on in the game.