Locke is the second playable character that you meet in Final Fantasy VI, and he's a constant companion for most of your journey. The plot forces him in your party most of the first half of the game. However, his own history and motivations have little to do with the main plot of the story. As with most of Final Fantasy VI's characters, Locke's story is revealed continuously throughout the game, before finally culminating in a scene in the World of Ruin. This section is basically a summary of Locke's subplot, because it makes understanding the rest of this site much easier.
Where Locke was born is unclear. He doesn't ever mention his parents, though he must have had them at some point. He does mention a grandmother, the kind who told him stories. But his own really begins in Kohlingen.
In this small, ordinary town, he meets Rachel. Rachel is one of those exceedingly minor characters that aren't characterized beyond a few sentences. What's clear is that he loved her. And that he loved her with the sort of passion you could build a life around.
Rachel and Locke would explore caves and ruins looking for treasures. Locke had something to show her once, across a rickety bridge over a bottomless cavern. Risk was the thrill of it, after all. But the bridge gave way. Rachel pushed Locke out of the way, and fell herself. She was alive, but her memories were lost. Her parents blamed Locke for what had happened, and Rachel herself couldn't remember who he was. She said it would be best for him to leave. And so he does.
A year later, Kohlingen was invaded. And in that moment, when destruction surrounded her and she lay dying, she remembered everything. Her last word was his name.
And with this final poetic twist of the knife, Locke damned himself. He took her body and had it preserved by an old man who laughs entirely too much. He keeps her, unchanging, in a basement in Kohlingen, surrounded by flowers and his lingering sense of failure.
Locke joined the Returners because the Empire killed Rachel, but he protects Terra because he killed Rachel. Locke comes across as a likable, carefree young man who would risk his life on a whim because that's what heroes do. But there is a darker side of his recklessness. Locke would climb a hundred towers to save a hundred damsels, but it's an act of desperation, not heroics. His love of relics and adventure and wanderlust conceal his unending quest for that one last treasure that will bring the dead back to life. There's a lot of the legendary in his backstory, and so it's not with a little irony that Locke's hopelessly romantic dream is nothing more than an optional sidequest.
Sometime after the world ends, Locke finds the Phoenix Esper, a legendary stone that can, indeed, bring the dead back to life. It's cracked, but Locke is still hopeful that it can bring back Rachel. He brings her the stone, and Rachel does wake, but only for a few moments. In that time, she tells Locke that she does love him, but he needs to let her go. That it was never his fault that he couldn't save her. She pours all the power that remains into that stone, restoring it, and recalling him to life.