Drop/Steal Level 3 sphere:
Defender Z - Found in Omega Ruins and Zanarkand Dome (You get two for an overkill)
Demonolith - Omega Ruins
Machea - Omega Ruins
Ultima Weapon - Omega Ruins

Drop/Steal Level 4 sphere:
Omega Weapon - Omega Ruins
Ultima Buster - Calm Land Monster Arena
Nemesis - Found in Calm Lands after completing the monster arena side quest
(I don't recommend fighting him just yet. Just steal from him and then escape. Repeat as often as necessary, but realize that you need 25000 each time you do so.)

There is, also a few level 4 sphere treasure chests located within Omega Ruins.