I am currently using Vincent and Cait Sith in my party and of course don't want to miss their best weapons. Where can I find them and what will I have to do in order to get them?
Vincent's ultimate weapon is in a secret cave hidden by a waterfall near Nibelheim. Take the submarine, go north, and you'll find an opening underwater. You'll see a scene where you speak with Lucrecia. Come back later, and you'll get Vincent's ultimate weapon and his last Level 4 Limit Break.
Cait Sith's ultimate weapon is in the Shinra building on the 64th floor in an employee locker. You should pick it up during your second visit to the Shinra headquarters otherwise you won't be able to get in later.