I'm partial to Lightning's episode, myself. (So I prefer story over a "one-time" arena battle. Sue me.) Sazh's episode was kind of nice, but just seemed bolted on, inventing new... something-or-others. Bleh. I just read stuff, 'k? That said, the fighting in Lightning's episode (Requiem of a Goddess) IS really intense, and challenges your mastery of the battle system itself, rather than making the necessary preparations. Plus, the COM monster (ms L!) you get will TOTALLY obliterate anything and everything you meet in the main game - way better than a Golden Chocobo!
(Note: The episodes involving FF13's main cast will net you their monster crystal, and they're quite a jump over the most powerful/efficient normal monster of their type. Meaning that game balance will be skewed quite a bit in your favour. I have not managed to beat Gilgamesh, so I don't know what might happen after the dust settles, but I'm not going to find out - I personally don't feel it's worth the trouble, though I do agree the music is indeed halfway awesome.)
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