Actually, Gogo has almost no story whatsoever. Some people may think that he (she? it? I'll just use "he" for now...) does, since he just comes completely out of nowhere, but he has no attachment to the characters of FFVI in my opinion. You may find him on Triangle Island (well... sort of on it... not really) but it's fairly unlikely that he's really Daryl, or anyone else in disguise.

   However, this is not to say that he's completely pointless. In the previous game (that being Final Fantasy V), he appears and fights the party for the crystal shard which grants the holder the ability to learn the "Mime" class. At the end of the battle, if you fight him properly, he casts X-Zone on himself, tossing himself into another dimension. And where do you find him in FFVI? Inside the Zone Eater, in this pocket dimension.