Yeah, I guess there are more caves...but including Ebot's Rock?
Also, you forgot the mountain dungeon near Thamasa.
Locke's story is one of the best parts of the game for me.
Ah, right. Oops.
Locke is my favorite character, personality-wise. As much as I love Steal, it really pales in comparison to overpowered things like Blitz and Tools. That said, I usually had him in my party.
EDIT: Whoops, didn't see what you were responding to.
Anyway, if you do Banon's scenario first, then Shadow will stay longer in Sabin's scenario. I usually do Banon -> Locke -> Sabin. Banon's is absurdly short, and Locke's is only a little longer (and pretty easy. The only trouble you'll ever have is possibly some of the random encounters after grabbing Celes if you don't have great equipment. Luckily though there's a hidden room down there with...Hermes Sandals? Or a Ribbon? Or both? I forget).