Quote Originally Posted by Zifnab
Cloud isn't a playable character. His sprite just randomly appears during the start up menu screen in the Anthologies version.
If you have the ROM version, there is a famous hack that allows you to play as Cloud for the entire game instead of Bartz. You can download it here: http://www.zophar.net/hacks/snes.html

Scroll down to the "Final Fantasy 5: Cloud's Turn to Fight" to download the patch. I've never tried it, so I can't speak for how well it works.