Gold Saucer

There is loads of cool stuff going on here so spend your time checking the cool stuff out, also some rare items can only be found by doing the extra stuff here:
Pre-Emptive Materia
Speed Plus Materia
Enemy Lure Materia
Gil Plus Materia
EXP Plus Materia
W-summon Materia
Final Attack Materia
Magic Counter Materia
Enemy Away Materia
Stardust
Omnislash
Championship Belt
Parasol
Chocobracelet
Cat's Bell
you can get these from the Speed, Chocobo, Battle and Wonder squares
Chocobo Square

There's lots of great items to get at the races. Most of them are only available in the S-class races, you can race or bet to get these great items, but you can't bet on the S-class until you're a full blown Chocobo jockey. If you have a good chocobo racing is the most reliable way.
Speed Square
A cool game, the controls are a bit iffy but otherwise it's snazzy. Collect 3000 points or more for a prize, do really well and you'll get the Parasol Aeris' most powerful weapon (it doesn't have any materia slots). Don't press the shoot button for to long or you'll use up the laser's power, tap the fire button really fast for best results, or use a turbo controller to really crank up the score. The targets to look out for are the yellow boulder for 200 pts. and the UFO for 1000 pts.
Wonder Square
Arm Wrestling: 100 Gil
Arm wrestle one of two opponents for a small amount of GP, 1 GP for defeating the sumo wrestler 2 GP for the wrestler
Super Dunk: 200 Gil
Hold the cancel button for less than a second to charge your shot and then release. Miss and the game is over, you get 1 GP for each basket score 10 in a row and you get to play a Double Chance: score and your GP is doubled miss and your GP drops to 1
Wonder Catcher: 100 Gil
This is pointless you'll either receive a potion, a small amount of GP, or nothing.
3D Battler: 200 Gil
Just like rock paper scissors
Fortune Telling: 50 Gil
Not really a game, you get a small glimpse into the future, don't play it several times because your fortune won't change
Mog House: 100 Gil
You have to help Mog fly to get him noticed by the female Mog he likes. Feed him 5 Kupo nuts on his practice run, he'll jump and squeak. The second time, he has an audience namely the girl Mog. Feed him 3 Kupo nuts this time, he'll jump and squeak again, then sit back, and enjoy the cute ending. After the game talk to the guy behind you and he'll give you 30 GP.
G Bike: 200 Gil
It's just the escape from Midgar mini game except with points, 500 points every time you knock over a biker, 25 points are lost every time the bikers hit the truck, the best way to rack up the scoreboard is to push a toppled bike in front of another, the domino effect. 2 GP if you do ok more if you do good, 5 or 10, I forget 'cos I hate this game
Snowboarding: 200 gil
This is the most fun game, the three courses all vary in difficulty, Beginner, Expert and Crazy. You get points depending on how well you do, it's only available after you have done the snowboarding on Great Glacier
Torpedo Attack: 200 Gil
This is the best game for earning your GP; 20 if you manage to finish. I would say you are super crap if you can't. It's just the same as the Mako reactor sub battle and is only available after you have done it.
Battle Square
10 GP to enter, your chosen party member goes through a series of 8 battles each of increasing difficulty. Equip your best materia and think about it before equipping all! also give them the ribbon which will protect against various effects. The slots are good or bad depending on how you look at them, they will handicap you but this will bump up your BP. There are also special battles which are tougher but have different prizes up for grabs, this is only available after you win the top two prizes on the normal battles. Your characters don't actually die here, they leave with the same HP and MP as they went in with, however if you use an item in there it is gone.
Ghost Square
Not much here just a themed hotel and crummy shop. You are served by a guy who has been hanged and is still in the noose!
Round Square
A cool tour of the gold saucer closed late in the game for repairs real fun when your on Cloud's date with Aeris
Event Square
It's pointless here except when Cloud is on his date, you get pulled up on stage for the act. It's really fun to Mess up, Aeris freaks and... You'll have to find out (unless you did it already)