Here I will tell where to get everybody's Ultimate Weapon.

CLOUD STRIFE

ULTIMA WEAPON- You can gain Ultima Weapon by destorying Ultimate Weapon. On Disc 3 you can find Ultimate Weapon hovering over a lake in the eastern continent.

BARRET WALLACE
MISSING SCORE- You can gain Missing Score by finding it on the steps that lead up to the Sister Ray just before theteam encounters Hojo.

TIFA LOCKHEART
PREMIUM HEART- You can gain Premium Heart by returning to the Wall Market after getting the "Key to Sector 5" and then you can check the broken vending machine again. It's fixed, sort of. It dispences the ultimate weapon, and then breaks down.

AERIS GAINSBOROUGH
PRINCESS GUARD- You can gain Princess Guard by wandering around the Temple of Ancients. You'll find the weapon just off the clock room. Its in hallway IV.

RED XIII
LIMITED MOON- You can gain this weapon after taking Bugenhagen to the Ancient City, return to Cosmo Canyon with Red XIII in the party and you find Bugenhagen in bad shape, but Red XIII walks away with his Ultimate weapon.

CAIT SITH
HP SHOUT- You can gain HP Shout by go up to the 64th floor in the Shinra Headquarters after returning there a second time, It is in the locker on the left side of the third row.

YUFFIE KISARAGI
CONFORMER- You can gain Conformer when you have the submarine. Locate the crashed Gelinka just off the coast by the Gold Saucer. Inside the generator room is Yuffie's weapon.

CID HIGHWIND
VENUS GOSPEL- You can gain the Venus Gospel in rocket Town after the rocket has been lanched. Talk to the old man outside the item Shop. he's the one who's been so obsessed with the rocket. if you speak with him several times, he'll eventually give you Cid's weapon

VINCENT VALENTINE
DEATH PENALTY- You can gain Death Penalty by acquiring the submarine or a Gold Chocobo. You can reach Lucrecia's Cave, located behind the waterfall in a lagoon in the Nibel Area. Visit the cave with vincent in your party during Disc 2. Then revisit ther cave during Disc 3 with Vincent in your party to get his Ultimate weapon.