What an awesome idea! I'm so all over it!
So far I've been playing single-type of weapons challenges and other typical stuff. But, I mean, it's not really that interesting. But this idea is on an whole new level.
Some thoughts of the top of my head:
Since most yoyos (all but one?) are non craftable, you may want to farm for the best yoyos on every new tier as soon as you reach it. Most yoyo's are on a class of their own as the top damage weapons of most tiers.
Do your best to get the yoyo glove that gives you access to a second yoyo for a larger kill capacity.
Armor will always be a problem and you will struggle to get good defense or weapon bonuses from armor. If your world is Corruption, I think the best melee armor you can get is the Ancient Shadow Armor, which will require you to farm Easter of Souls in droves (a farming arena is probably required). Magic Users also have a good armor; the Ancient Cobalt Armor, and it is independent of world type.
Once you enter hardmode, life will be hell... and more fun. You really need to concentrate on damage dealing from here on. No need to reforge those accessories to defense. Your defense will be so low (the Shadow Armor has a base of 19), that you are just wasting your time. Go all out on damage and critical hits. Your only way to survive is to kill fast. Which means, your defense accessories should be thrown out also. With some exceptions like the always awesome cross necklace. Be smart with weapons. Do not specialize. Melee, ranged and magic. Look on the wiki for the most powerful ones and hunt them down.
EDIT: Bosses on hard mode will require arenas and wiring. Space out Heart Statues (you may need to farm more than one world and look on the wiki for heart generation rules), and crab/bird engines for extra hearts. Mounts are a must and you can get the Unicorn soon into hardmode. I think the most terrifying bosses will probably be Plantera (even with the back-and-forth teleport trick) and Moon Lord. The others you will eventually beat and the Golem may be in fact that easiest of all hardmode bosses.
Darn! I'm so excited. I need to start this as soon as I get home