Final Fantasy VI/Chapter 2: From Figaro Castle to The Returners' Hideout

Figaro Castle
Keep going straight through all the doors and head to the back of the castle to run into King Edgar, who will hit on Terra while she acts bemused. You'll be left controlling Terra just by herself. Go back one room and go up the stairs to find a treasure chest, and there are three more that can be found in the previous room behind the doors where the two shops are. Congratulations, this is your first chance to actually spend some money. Fenix Down's are probably the most useful at this stage of the game, and you can buy some of Edgar's tools although he starts with the autocrossbow. Later on you'll be able to get anything here at half price with Edgar's help. Go back to the entrance of the castle and take the left of the two doors that are now unblocked. You can rest, pick up some gossip on the king, or go down the stairwell to explore another part of the castle. Talk to the Matron in the other room to learn about Edgar's long lost brother, Sabin. Head back to the main hall of the castle and go to the throne room to talk to Edgar again. Kefka will show up and try to crash the party but Edgar plays it cool. Follow Locke up to your room in the right turret and Kefka will show up and try to burn the place down. Edgar will inform his soldier of what to do and your party will race off on Chocobos as Figaro submerges. Using Terra's magic in the battle brings up an interesting interruption, otherwise do whatever you want.

Mt. Kolts
Go to the south of the map until you see a small opening which looks like a cave, and press b to get off your chocobo and go in it. When you come to a fork take the left passage for a treasure chest and then go down the right passage, finding another treasure chest on the right side. Walk past the main stairs to reach another chest, then go up those stairs and keeping following the path to find your way out.

Up and to the right of where you come out of the cave you can find Sabin's old house, and below that is South Figaro. Take a look at both, and make sure you start buying some decent relics, armor, tools, and weapons, as well as running into Shadow. And simply as a general rule always try to check barrels, crates, pots, and clocks for items.

After you finish in town head to the northeast to enter Mt. Kolts. You will see a shadowy figure at several points. Use Edgar's tools and heal yourself with Tonics or Terra as necessary. When you pass by a cave entrance on the way to another entrance take it to find a treasure chest. Other than that the path is fairly straightforward, save when you can, and follow a long winding path to face Vargas.

After you defeat Vargas, follow the path outside and go north to the returner's cave. Greet Banon in the book and he will tell Terra they need her help. You'll talk over as Terra, talk to everyone and clear the place out for items, then go back to the front and talk to Banon. He ask if you are willing to help him. An important note here is that if you say yes right away he will give you a gauntlet, which allows you to hold a weapon with two hands for greater attack power. If you say now you can talk to a soldier in the back to get a genji glove, which lets you strike with a weapon in each hand. I highly recommend getting the genji glove. You can refuse Banon two more times to skip a meeting and jump ahead a few events or say yes to have a meeting discussing your strategy. After the meeting, go south to take a raft and ride the Lete river. Make sure you put Banon in the back row, because if he dies your party loses.

Lete River
Always have Banon use his health ability when it's his turn. All paths on the first fork lead to the same place, but the straight path takes the longest and the right path is the shortest. You'll hit a save point and continue on. Going up at the next fork sends you through a loop, which is handy if you want to do a trick for unlimited leveling up, but otherwise go left. You'll hit a save point, and your next encounter will be taking on Ultros for the first time.

After beating Ultros, Sabin will wash away and you'll be left with a choice between three scenarios. The Terra scenario is probably the easiest, Locke's scenario is in the middle, and Sabin's scenario is the hardest, so you might want to leave Sabin's until last.