Gau is actually one of the most overpowered characters in FFVI.
His stats are unbelievable, but I can't get Rage to work well for me. I prefer Umaro if I have to have a Berserker-type character on my team.
I've heard stuff about Relm actually being good... I just never cared to use sketch.
It also depends on which version of the game you're using.
SuperNES/Wii VC = Wind God Gau (you can equip the Merit Award and Genji Glove relics plus dual Tempests and Catscratch for 16 hit shenanigans).
The other versions still allow you to make Gau invincible if you know which rages to use but only the GBA version actually wants you to use them given Squeenix's tendency to cram ridiculous/awful extra game content into the GBA ports of Squaresoft games (also they finally got around to fixing the Evade glitch which means no more Dodge Tanks). Despite this, Gau can easily break the game during both halves if you figure out which rages are worth using (the Aspik rage alone can utterly wreck the first half alone thanks to its Giga Volt ability which hits like a Bolt2/3 spell, I forget which, and can be picked up upon returning to the veldt).
Relm breaks the game in the other way due to all the bugs and glitches that can be invoked with sketch (sketching anything under the invisible status has the potential of obliterating all your save datas). You can find ways to abuse this but generally speaking they're not worth it given the ease of the game. What Relm IS good for is to have a fabulous starting Magic stat and the ability to wear some of the game's better equips (plus you can get her and her grandfather's best armor almost immediately after gaining access to the Falcon).
Unfortunately Umaro's the worst character in the game due to limited equipment options (only Relics) and complete inability to equip Magicite (no permanent stat boosts whatsoever).