Ozma has always made me wonder, besides being an Eidolon there really wasn't much about him. I wonder, since the IX Ultimania says that Eidolons are manifestations of a planet's crystal, if Ozma may be originally from Terra. No evidence to back this up of course but its an interesting thought.

I would have loved for Ultima Weapon in VIII to have more of a backstory considering the stuff you see in the Deep Research Facility but I've never really been bothered by Omega having no story.