Depends on what you want to do.

For leveling it's good to customize weapons with Triple Overdrive (30 Winning Formulas), Overdrive -> AP (10 Doors to Tomorrow), and Triple AP (50 Wings to Discovery). Then set the overdrive to something that charges AP when you or allies take damage and fight Don Tonberry in the Monster Arena.

For Gil, get a weapon with Gillionaire (30 Designer Wallets) and fight Mimics in Omega Ruins.

For regular combat Celestial Weapons are excellent, but if you want to customize include Break Damage Limit (60 Dark Matter). I like One MP Cost (20 Three Stars), First Strike (2 Ability Spheres) and Initiative (Return Sphere).

For Armor I like Auto-Haste (80 Chocobo Wings), Auto-Phoenix (20 Mega Phoenix), Auto-Protect (70 Light Curtians) and Auto-Shell (80 Lunar Curtains). A lot of people swear by Break HP Limit (30 Wings to Discovery), but I haven't found in necessary. Maybe in the PAL version its more useful.

Gamefaqs.com has an excellent ultimate weapon/armor guide, and there have been several discussions about this on this forum as well.

Good luck!

Alchemy doubles the potency of healing items.