I think that if you go on the frontsite, you will find every information you need about getting them.
In the first part of the game (World of Balance), Mog is an optional character, while you still can't get Gogo and Umaro (or so I think.)
In the second part of the game (World of Ruin), there are only 3 compulsory characters: Celes, Edgar and Setzer.
You can recover all the others in no special order, the exceptions being Strago (You have to have Relm in your party to get him back) and Umaro (you have to have Mog with you).
If you want to ever meet Shadow again remember to wait for him at the end of the World of Balance, or he'll be gone for good.