Awww, you don't know Gilgamesh? That's a shame, he's the only character that is a genuine character in more than one of the games (so far he's in FFI, FFIV, FFV, FFVI, FFVIII, FFIX, FFXI, FFXII, FFXIII, FFXIII-2, FFXIV, Dissidia, Type-0, Dissidia 012, Theatrhythm and a few other spinoff FF games such as All the Bravest) as he is able to travel between Final Fantasy universes using "portals in the Rift". He's hilarious, my fave appearance I've seen so far is in FFXII.

The only other characters to make appearances in more than one game are through MMO's using them as special limited-time characters (eg. Lightning, Shantotto).