It's purely for bragging rights. The irony is that Ozma is probably one of the hardest "optional" bosses in Final Fantasy (disincluding FFX's Penance, which I've heard takes upwards of two to three hours to kill). In previous FF's it was usually just a case of upping the damage to suitable levels in order to deal with the enemy, or employ some specific tactic. With Ozma you have to go through the rigmorole of the friendly monster quest, then the battle itself is more an exercise in luck than anything else. In FF9, there's no "killer" abilities, no Omnislash, no Lionheart, no Attack Slots etc.