Rachel
The first cut is the deepest
Like pretty much every major Final Fantasy character, Locke suffers from tragic-past syndrome. We first hear of Locke's when Edgar mentions to Celes that he's had a hard time. Locke eventually tells the whole story. Rachel grew up with Locke, one thing led to another, and they became engaged. They would go out and look for treasure in caves and have adventures. However, because people often confuse "treasure hunter" with "theif", and either way the job has occupational hazards, Rachel's parents didn't approve of the relationship. Unfortunately for Locke, the whole thing became riddled with a major case of "I told you so" when Rachel fell off a bridge during one of their escapades.
Rachel: Locke! What are we off to find today?
Locke: Soon, you'll see...
Locke: You're not going to believe what awaits us up here! Come on, it's worth a fortune!
Locke starts across the somewhat wobbly looking bridge.
Rachel: LOCKE! Look out!
Rachel pushes Locke to safety and falls.
Locke: RACHEL!!
She was alive, but had lost her memories, and everyone blamed Locke. She told him to leave, not remembering who he was, and only hearing what other people told him. Her parents insisted it was Locke who was the cause of their troubles, and after some convincing, Locke did leave, heartbroken. After a year, Imperial forces invaded Kholingen, and Rachel was killed or put into some sort of coma. Her last words were "If he comes bell a man named Locke that I loved him. And he never forgave himself.
In order to keep the hope of saving Rachel alive, Locke enlisted the help of a crazed and creepy old man who had saved her corpse for some sort of experimentation.
The following is from the Japanese version, which illustrates the creepyness of the old man better.
Locke: Rachel...
Enter Old Man
Locke: You're sure this medicine works, then.
Old man jumps up and down
Old Man: Of course, of course. Your precious girl's corpse will be preserved juuust like this, forever and ever. Ke ke ke...
Locke looks down at Rachel.
Locke: If it were possible to call her wandering soul back...
Old man comes around the bed to look at Locke.
Old Man: You mean, if there were some mystical treasure that would call back a soul? Ke ke ke...Certainly, if you had that...you might bring her back to life. Ke- kekeke!!
Old Man bounces
Locke induces the man to keep Rachel preserved either with money or physical intimidation. He doesn't trust him, and he no doubt finds his character disgusting, but to save Rachel, he'd do anything. Rachel's death seriously messed him up, it put a horrible burden on his shoulders and led him to become almost a characture of his former self. It is only after he does find the magical treasure that will call back Rachel's soul that he is feels complete.
I couldn't protect her. Since then, I... it's like time stopped. I can't do anything until I make things right...
Rachel saves him twice, then- once when she pushes him off the bridge, and again after she reliquishes her hold on his soul.
Rachel is, of course, one extraordinary woman. She is not afraid to go with Locke on his treasure hunts, she is strong enough to stand up to whatever objections her parents had about the relationship, she forgives Locke, rather than blaming him for the accident and is even more self-sacrificing than our hero. They were soulmates- you have to love deeply to fall that hard.
The entire game is marked by the shadow of Rachel. She is the green light that Locke chases after. Even in the Opera scene there are shades of Rachel's influence that must have reminded Locke of her.
Oh my hero, so far away now.
Will I ever see your smile?
Love goes away, like night into day.
It's just a fading dream...
So gently, you touched my heart.
I will be forever yours.
Come what may, I won't age a day.
I'll wait for you, always...
Even though I do believe Locke saw Terra and Celes for their own merits in the World of Balance, there's no doubt in my mind that they were shadowed by the ghost of Rachel. He harbors this need until the World of Ruin, where he tells the party he will only travel as far as Kholingen.
The motif of a tragic love occurs time and again both in Final Fantasy VI, in the rest of the series and in literature. The idea is almost operatic, which is why it fits so well into the setting of Final Fantasy VI. Rachel is Locke's guiding light, that thing he swims towards without understanding, the yardstick with which he measures his success in life. But in the end, I think, he comes to realize that it is better to have loved and lost. Furthermore, he recognizes that he has lost something profound in Rachel, but he will lose even more by clouding the future over with his guilt. Because in the end, she's the one who saves him. It comes out in Locke's penultimate lines-- "I have learned to celebrate life... and the living."