Gau is one of the many playable characters in Final Fantasy VI. He grew up in the Veldt (a valley inhabited primarily by monsters), thus giving him the class of "Feral Child." He speaks in an incredibly primitive speech, and is often drowned out by growls and grunts. His special ability is Rage, which replaces the regular Fight. When Rage is used, Gau can select a monster's abilities. He takes on the properties of this monster, and then uses an attack based on which monster it is. When Rage is used, the attacks are randomly selected and the player completely loses control over Gau. Gau can learn new Rage attack on the Veldt and the Veldt only.
Gau was born to an eccentric old man in a house north of the Veldt. In fact, a sidequest in the World of Ruin involves Gau meeting his father (in a "cleaned up" state, thanks to Sabin Rene Figaro). Despite this, his father does not recognize Gau and is angry. When Gau's mother died during childbirth, his father cast Gau out onto the Veldt, believing he is a demon. Afterward, he thinks that it was all a dream and has no recollection of Gau or Gau's mother.
When Sabin and Cyan Garamonde wash up in the Veldt, Gau came and saved them, then ran away. They encountered him again in the Veldt, and this time Gau demanded food. Cyan and Sabin found Dried Meat in a nearby village, and they tossed this to him. Gau became fast friends, and began following them around (also making fun of Cyan's speech, but accidentally thinking it was Sabin's speech, calling him "Mr. Thou"). He then bragged about his treasure to the two (the treasure was a breathing apparatus), which they used to traverse the Serpent Trench (which led to Nikeah). Here, the three took a ferry to South Figaro and then made their way to Narshe.
When the trio arrived at Narshe (along with just about everyone else) just in time to prevent Kefka Palazzo from taking over Narshe. After the battle finished, Terra Branford reacted strangely to an Esper in Narshe. She flew off to a tower in Zozo, where she was being cared for by Ramuh. Ramuh asked them for assistance in freeing Espers (including one Esper named Maduin, who is Terra's father) from Vector (the capitol of the Empire).
To get to Vector, the group enlisted the aid of Setzer Gabbiani, owner of the world's only airship (called the Blackjack) and an infamous gambler. At first, he wasn't willing to aid the group, but after Celes Chere proposes a coin toss (in which she uses a double-sided coin), he is amused and agrees to help. The party managed to make it to Vector, free the Espers in the Magitek Research Facility, and make it back to Zozo to free Terra.
The party meets together in Narshe and decides to have Terra speak to the Espers and request their aid in destroying the Empire. Unfortunately, they are ambushed by Kefka and his forces. The Espers still come out, but they react to the environment and completely demolish Vector. Emperor Gestahl pretends to have surrendered, and Locke Cole and Terra go to investigate on Crescent Island. The rest of the party is suspicious, however, and everyone else (including Gau) stays behind in Vector to keep an eye on Gestahl.
In the World of Ruin, Gau goes back to live in the Veldt, which is where he can be found to rejoin the party.