This can be obtained by defeating Ultimate Weapon on Disc 2 or 3. You can find him flying over a lake in the eastern continent. He'll probably fly away to the Cosmo Canyon area after you damage him some more. Beat him there, and you'll get Cloud's Ultima Weapon.
After you dig up the Key to Sector 5 at the Bone Village, go back into Midgar and go to the Wall Market. Go the broken vending machine and examine it. You'll get Tifa's Ultimate Weapon, Premium Heart.
You can get this on the steps to the Sister Ray before fighting Hojo. Make sure you have Barret in your party or it won't be in the chest.
You get this while you search the clock room in the Temple of the Ancients. It's in room IV.
Go back to Cosmo Canyon after the Bugenhagen thing at the Ancient City. Bugenhagen will be dying, but he'll give Red XIII the Limited Moon.
When you parachute into Midgar, find your way to Shinra HQ and go to the 64th floor and look in the Lockers. In one of them should be Cait Sith's Ultimate Weapon, HP Shout.
After the rocket has launched, go back to Rocket Town and talk to the guy by the Item Shop a couple of times. He'll give you the Venus Gospel, Cid'd Ultimate Weapon.
When you get either the submarine or Gold Chocobo, go to a waterfall some where around Nibelheim. Visit once during disc 2
and again during disc 3. On your second visit, you should find his Ultimate weapon, Death Penalty. Make sure you have Vincent in your party both times you visit the cave.
Go to the crashed Gelinka once you have the submarine and go to the generator room. The Conformer will be in one of the chests. If you don't know where the crashed Gelinka is, its off the coast by the Gold Saucer.