For obvious reasons Celes and Setzer don't have a sidequest, the intro prior to the game and getting the airship are their "sidequests" almost. Edgar has a related quest in the ancient castle because it's connected through Figaro Castle so I classify that under him.
This sidequest requires Sabin in your party, has one part, and needs no leveling up.
Simply go to the continent at the upper middle of the world map, it's the same one which has the cave leading to Narshe. Go to the upper right portion of that continent, where the path of five trees forming a cross is with one in the middle. Walk into the middle tree to find a house, and if Sabin is with you, he'll meet Master Duncan and learn the ultimate Blitz, the bum rush, good for 9999 damage when you're sufficiently leveled up.