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Ultimate Weapons
Ultima Weapon (Cloud): It'll be your reward for defeating the Ultimate Weapon (once and for all) over Cosmo Canyon later on in the game. You'll have to fight many battles with it first, and to challenge it, just ram into with the highwind.
Princess Guard (Aeris): Enter door IIII in the giant clock in the temple of the ancients. Look inside the chest within.
Missing Score (Barret): Have Barret in your group during the final assault on Midgar (at the very end of Disc 2). Halfway up towards the stairs to Hojo, you'll find it in a chest.
Premium Heart (Tifa): Once you've visited the City of the ancients with Bugenhagen, go back to Midgar (on foot) and talk to the man just outside the city entrance. He'll babble on about having lost a key during an excavation tour. High-tail it to Bone Village and ask the excavators for "Normal treasure." After a bit of trial and error, you'll end up receiveing the Key to Midgar, which will allow you to re-enter Midgar (not including the final assault, though). Go back to Wall Market and examine the computer.
Limited Moon (Red XIII): After your visit to the Forgotten City with Bugenhagen, have Red XIII talk to the dying elder, who will give him this weapon.
Venus Gospel (Cid): After your trip to outer space on Shinra No. 26, keep talking to the old man outside the Item Shop in Rocket Town. He'll eventually give it to you after a bit of conversation.
HP Shout (Cait Sith): late in the game during the final assault on Midgar, go to the 64th floor of shinra Tower and search the lockers behind the health spa.
Conformer (Yuffie): In the Sunken Gelnika Plane, you'll find it in a treasure chest in the downstairs portion of the room closest to the exit.
Death Penalty (Vincent): Go to a cave hidden by a waterfall in the middle of the West continent, accessible with bred chocobos or the Submarine. Have Vincent talk to Lucrecie, then head back before entering the Northern cave. Along with the Death Penalty, you'll also receive Vincent's level 4 Limit Break manual, Chaos.