Listed below in order are the five locations where a Legendary weapon can be found. When you find a Legendary weapon, you must return to Vanessa's lab and talk to the researcher who first gives you the quest. After 'examining' the weapon you brought back the researcher will replace each gemstone with the next one you will need.
1) Leo: Go to schwatz Pass (the pass before reaching the castle where you met emperor Leon). At one of the exits you will end up outside of the world map where you then walk a short distance to reach the ancient mine. Inside you will receive Ragnarok.
2) Aries: Go to the first cave that you went to at the beginning of the game.
3) Centaur: Energi mine (before reachin Schwatz Pass). The door can be found deep inside this mine.
4) Capricorn: Sealed Brand Cave (the cave found on the very small island at the southeast of the world map).
5) Aquarius: Cave near town of kashinew (surrounded by mountains).
Complete the game once to unlock the in-game Cheat mode which enables you to have a zero percent encounter rate, and double the EXP/SP/Gold. Use the double the EXP/SP/Gold cheats to buy some of the expensive late-game equipment and gain valuable stat boosts earlier.