Locke's plotline is a story of love and loss, and as those are the two basic themes of Final Fantasy VI, it's reiterated a couple times in the pasts of the main PC cast. As such, their differences sort of deepen their own characterizations. I wouldn't call all of them Locke's foils, because that implies that they're only around to give Locke depth, and when really they're all there to give the game something to say. Still, I think it's worth exploring.
I'm sure I'm not the only one to notice similarities between Locke and Setzer. When Square went about creating fourteen playable characters for Final Fantasy VI, they rather forgot that they only have about five basic storylines to give a character. Now, Setzer's love was Daryl, my personal favroite extremely minor character of Final Fantasy VI. Daryl was a strong woman, and much like Rachel to Locke, she followed him everywhere, to the skies and beyond. And again, much like in the story between Rachel and Locke, she met her tragic end that way. Again, Setzer keeps a creepy and elaborate tomb for his beloved Daryl, and he changes after her death by retreating further into a stereotype.
Of course, the stereotype Setzer falls into is a bit more amoral and less chivalrous than Locke's, but it is every bit as dashing. Setzer seems more cultured than Locke, and he has an indiscribable finesse about him that can make Locke's idealist bumbling look rather clutzy. Setzer and Locke are clearly separate entities, and I love them each for their own charms, but I wonder if the events of the game had not occured, would Locke have become more like Setzer?
Locke's traditional ideas of marriage notwithstanding, he has, I think, a real love of freedom and a tendancy to wander about with no real place to call home. But here's the thing that separates them. When Setzer lost his loved one, he abandoned anything he might have believed in and committed himself to something like chance. Whereas Locke refused to abandon himself to anything except Rachel. Setzer let go of everything, Locke held onto nothing a bit too tight. When you find them in the World of Ruin, Setzer has given up and is drinking himself silly in a bar, and Locke is deep in some horrible fire dungeon still trying to bring the dead back to life.
As a sidenote, I really wish that Locke and Setzer would've had more interaction, because I think they'd make a wonderful and occasionally hilarious team, much along the lines of Locke and Edgar. Or you know, they could've just had more Setzer in the game, period.
Another figure who shares a past reminscent of Locke's is Shadow. If you remember, he too was a thief (and I do believe that at some point during the dark years Locke was merely a thief, and not a treasure hunter) who lost someone dear to him at the hands of the empire. Later, Shadow carries on some sort of tragic love affair, resulting in a daughter, Relm, before leaving that place, destroying his feelings, and taking up his enigmatic nom de guerre.
Shadow's earned himself a dark reputation, and he strikes the easy-going Locke as rude and possibly comical. But there is a kind of ruthless determination to Locke's personality that isn't often recognized. Consider his descision to preserve Rachel's corpse with the help of a crazy, senile old man and his perverted experiments. Locke finds his own interactions with this man distasteful- but to save Rachel he would do anything. Still, even I, who loves Locke just that much, find his descision to keep the corpse of his dead girlfriend, well, creepy.
But Locke's dark side isn't practical, and it doesn't just let things go. He wields his grief like a sword, he makes his memory of her into his Excalibur. Shadow is essentially running away, while Locke is trying to make up for his percieved guilt with every breath he takes. And yet, at the heart of that, there's the same kind of emotional disconnect. In the original translation, Locke mentions that he hasn't really felt anything since Rachel died. It's as if his world has lost its color, as if the light has been bled from it. And, well, Shadow keeps to his namesake.