Jecht's Theme is the blues-like song played when you see the Jecht Spheres.

Lulu's Theme is the song heard when you fight the dead fiend-like guardian in the Cavern of the Stolen Fayth.

Yuna's Theme is not the same as the Besaid Theme. Right now, I can't remember where you hear her theme.

Wakka's Theme is not heard in the game at all, but can be bought at Luca as a bonus after you've bought all the other songs.