Once you can travel the seas, I highly recommend traveling to the icey northwestern continent and walking along the beach until you find a Zombie Whale. You can learn 'Level 5 Death' from it (works the same as in FFV) which makes leveling-up a piece of cake once you find the place to use it.

The Blue Magic I use the most (besides the LV 5 Death "trick" for level-grinding) have already been mentioned: White Wind, Frog Drop, and Magic Hammer (a truly awesome spell given the right circumstances).

I'll occaisionally use Bad Breath--which you can get from Anemones on the Salvage Islands IIRC once you can travel the seas.

Pick up Mighty Guard--casting Shell and Protect on the entire party with a single spell is occaisionally useful--from the Serpions outside of the Lindblum.