Locke Cole is one of the primary protagonists in Final Fantasy VI. He is the Thief class, although he prefers the title "treasure hunter" (which is a joke throughout the game). His special ability is Steal, meaning he has a 7/8 chance to steal a common item and a 1/8 chance to steal a rare item. By equipping the Thief Glove, Steal is changed to Capture, which makes it so that Locke can deal damage while he is stealing an item.
Not much is known about Locke before he is met. He was in love with a girl from Kohlingen named Rachel. He and Rachel would always go out on adventures together. On one of these adventures, Locke is trapped on a crumbling bridge. Rachel saves him, but is nearly killed herself. Locke nurses her back to health, but she has amnesia. Due to this, her father forces Locke to leave the village of Kohlingen. When Rachel died because of an Imperial attack on Kohlingen, Locke joined the Returners to get revenge against the Empire.
In the beginning of the game, Locke was in Narshe. Terra Branford was there as well, and Arvis asked for Locke's assistance in transporting her to the Returners' headquarters. He took Terra to Figaro Castle, owned by Edgar Roni Figaro. Despite their quick action, Kefka Palazzo was hot on her tail, and he attempted to burn down Figaro Castle. Locke, Edgar, and Terra escape, however, and make it to the Returners' Hideout where they meet up with the leader of the Returners, Banon.
When South Figaro is put under Imperial siege during this time, Locke agrees to go investigate. Here, he learned that the Empire was going to have another raid on Narshe, and Locke felt it crucial to warn Narshe. However, he couldn't get out alone. While he was sneaking around houses, searching for a way to get out, he found Celes Chere, a former general of the Empire. She reminded Locke of Rachel, so he vowed to protect her.
The two managed to make their way to Narshe, where everyone had gathered to defend Narshe from Kefka and his troops. They succeeded, but after the battle Terra reacted strangely to the Esper in Narshe, and she turned into an Esper herself. She flew off, and wasn't found until later in the city of Zozo. Here she was being cared for by Ramuh, another Esper, who requested that the party go to Vector and rescue his fellow Espers who were being held captive.
To get to Vector, however, they would need an airship. Setzer Gabbiani is the only man in the world who has such an airship: the Blackjack. They found out that Setzer is in love with an opera singer named Maria, who is about to star in the opera Aria di Mezzo Carattere. Celes has an uncanny resemblance to Maria, so Locke has the idea to disguise her as Maria to lure Setzer. When Setzer finds he has been tricked, he is so amused that he agrees to help.
In the Magitek Research Facility, the party manages to free all of the Espers. When they are freed, however, they transform into magicite. This secret is discovered by one of the head engineers of the facility, Cid Del Norte Marquez. Kefka also discovers this, and orders Celes to come with him. Of course, this causes Locke to wonder where Celes' loyalty lies, but when she saves them from being killed, it becomes evident. Cid also helps them by giving them an escape route.
Now that Terra has been restored to her human state, everyone goes to Narshe for a meeting. They decide that Terra needs to use her contact with the Espers to ask them to attack the Empire, and destroy them once and for all. When they try and go into the Land of Espers, they are attacked by Kefka. The Espers all come out of the land, but they react violently to the different world, completely obliterating Vector. Emperor Gestahl appears to want to have a treaty after this, but naturally, Locke is skeptical.
Locke agrees to accompany Terra to Crecent Island, to discuss peace terms with the Espers. Terra and Locke meet up with General Leo Cristophe, one of the Empire's top generals and the leader of the trip, Shadow, and Celes. Locke apologizes for mistrusting Celes, but she runs away.
In the town of Thamasa, they find Strago Magus, the town elder. After helping Strago rescue his granddaughter, Relm Arrowny, he agrees to reveal the town's secret (everyone can use magic, albeit not incredibly powerful magic) and help them search out the Espers. When they find the Espers, and are about to lay out peace terms, however, Kefka attacks and turns them all into magicite. He also murders General Leo.
In the World of Ruin, Locke hears the legend of the Phoenix, which is said to have the ability to revive the dead. He searches everywhere for it, and finds it in the Phoenix Cave. The rest of the party finds him in this cave, and they go to Kohlingen together. Because the Phoenix is weakened due to cracks in it, Rachel can only be revived temporarily. She tells Locke to stop feeling guilt, and that it is not his fault. Locke is rejuvenated after this point.