I've assembled a new Q&A about Gau's rages for another forum. It's probably the most informative answer you'll ever get. Here it is:

Question: What are Gau's best rages throughout various parts of the game? Which ones should I get?

Answer: When Gau first joins your party get Stray Cat (Catscratch), Over-Mind (Elf Fire), Bomb/Vaporite (Blaze), Templar (Fire 2, Safe) and Hazer/Ghost (Bolt 2). Trilium (Bio) also pretty good if you need a poison attack, as is Bleary (Doom) if you need an instant death attack. The Over-Mind rage is a hard one to get since you only see this monster in one enemy formation. Therefore it's alright if you don't have the patience to get it since you already have good physical and magical attack rages. For attack power reference, Catscratch > Elf Fire > Blaze > Bolt 2 > Fire 2 > Bio.

Right after the Narshe battle go back to the Veldt for the Aspik (Giga Volt) rage. This will roast Ultros in the Opera House and every monster in the Magitek facility beyond belief (except Rhinox). However as with the Over-Mind rage, this one is also hard to get. Because of this you'll have time to collect some other rages while waiting for Aspik to show up. If you go to Zozo before heading back to the Veldt, you can pick up the Slamdancer (Ice 2) and the HadesGigas (Magnitude8) rages now. This will complete Gau's level 2 elemental spell collection via rages before you even get espers. Wind Slash is a powerful wind attack that's unblockable and the damage doesn't split among multiple enemies. You can get this from the Marshal rage. For attack power reference, Catscratch > Giga Volt > Magnitude8 > Wind Slash > Elf Fire > Blaze > Ice 2 > Bolt 2 > Fire 2 > Bio.

Rhinox (Life 3) is a rage that becomes available after you go through the Magitek facility. This is good for boss battles. It's a poor offensive rage, but if Gau dies you can revive and assign him to another rage. By this time most of your characters will have Life 3 status, which is a pretty good deal this early in the game. If you would rather have Gau attacking with his full power then you may not want to bother with the Rhinox rage.

The floating continent has a few decent rages if you're willing to go back down to the Veldt. If you do, grab the Behemoth (Meteor) rage. You're not supposed to get this spell until late in the WoR but Gau can have it so it may be in your best interest to take advantage of this opportunity. It's power is somewhat limited but it can't be dodged and enemy defense is ignored. Brainpan (Blowfish) is another goodie at this point in the game, guaranteed to deal 1000HP damage to a single target. For a more standard attack get the Ninja (Water Edge) rage, with a water attack almost as powerful as Giga Volt. All of the above rages will bring out Gau's full potential in the WoB.

Since there is no order for which you have to do things in the WoR I will simply provide a list of good WoR rages. You'll definately want Retainer (Leo's Shock), Harpiai/Sprinter (Aero), Vectaur/Peepers (Pearl Wind) and Spek Tor/Wild Cat (Blaster). Lesser but still good WoR rages include Tyranosaur (Meteo), Io (Flare Star), Didalos/Mover (Merton), NightShade (Charm) and Barb-e (Love Token). Cutter/Gilomantis (Shrapnel) is fun to watch but Bolt 3 is just as powerful. The only dfference is that Shrapnel is a physical attack.

Rages that are mostly obsolete by the time you get them due to espers include SrBehemoth/Brontaur (Fire 3), Punisher/Goblin/Rain Man/Karkass (Bolt 3), Woolly (Ice 3), White Dragon/Orog/Warlock/Madam/Outsider (Pearl), PowerDemon (Flare), Osteosaur (X-Zone), Nohrabbit/Dahling (Cure 2) and Magic Urn (Cure 3).

For attack power reference (standard attacks only), Catscratch > Merton > Shock > Aero > Ice 3 > Fire 3 > Bolt 3 = Shrapnel > Giga Volt > Pearl > Water Edge > Meteo > Magnitude8 > Wind Slash > Elf Fire > Blaze > Ice 2 > Bolt 2 > Fire 2 > Bio

For more information on attacks, check out Master Zed's FF3us Attack Guide v1.2. Use your browser's find feature to quickly find the specific information you're looking for.