Outside of netting a few rare items easily without the Coliseum and learning Ultima slightly early, I find I prefer getting the sword over the magicite cause the bonuses and damge are exceptional and it goes well with my favorite character Terra. I generally find attaining the Paladin Shield to be a better means of getting Ultima cause it also nets you an incredibly powerful piece of defensive equipment. I think getting the esper the first time through is a good choice but after finally breaking down and getting the Ragnarok sword in my last playthrough I don't think I will ever go back.

Gogo is a deceptive character and don't worry about not knowing about his status screen set up. I had played through and beaten the game several times before I stumbled upon it myself.