He wanted to destroy the world/build a monument to non-existence, but failed. If Kefka succeeded, the world would be completelly destroyed.
IMO the most interesting victory to watch, would be Ultimecia's. She was absorbing all existence. After doing that, she would be God, and recreate the universe in her own image. That would be incredible to see.
But as a Sephiroth fan, I would like to see him using an entire planet to travel the cosmos, crashing in other planets and destroying them.