Castle Coneria
Follow the outer pathway to reach the treasure rooms. The only treasure of real note here is the TNT. The Silver Dagger is an upgrade over anything else you've seen for a Bl.MAGE, but the rest of the items are all purchaseable in ElfLand.
Temple of Fiends
With the mystic KEY in hand, you can finally unlock the eastern treasure rooms in the Temple of Fiends. Both treasure rooms are guarded by 2–3 GARGOYLES, which are just as annoying as they were in the Marsh Cave. Fortunately, there's no reason to hold back here, so use your best damage-dealing spells to deal with them quickly. You'll find the Rune Sword in the southeastern treasure room, and the Were Sword and a SOFT Potion in the northeastern room. These swords can be useful upgrades if you didn't purchase the Silver Sword in ElfLand. Note that if you take the SOFT Potion, you'll have to fight the GARGOYLE guardians again on your way out.
The higher your Strength, the more important this difference becomes, making the Dragon Sword a better choice for THIEVES and RedMAGES than FIGHTERS. The Silver Sword is a superior Weapon for the latter Classes at this point anyway.
Dwarf Cave
The best treasure haul is found in the Dwarf Cave. You'll want to come here after Castle Coneria, so you can deliver the TNT to Nerrick in the southern passage. He will use it to open a channel to the outer Ocean so you can continue your quest. Don't hesitate to loot the treasure room while you're here, though.
The Dragon Sword is a nice upgrade for your THIEF. (If you didn't buy a Silver Sword in ElfLand, it can be useful for a FIGHTER or RedMAGE as well.) The Iron Helmet will save you the trouble of buying one in Melmond, and the Silver Armor is a nice upgrade for your RedMAGE. (It also sells for 3,750 G, if you need money for more spells in ElfLand.) The rest of the treasure is more mundane but still worth retrieving.
Northwest Castle
There is a single locked treasure room in the Northwest Castle containing three treasure boxes. All three are guarded, though you can avoid the guards by approaching the chests from the sides rather than below. The center chest contains a Falchon and is guarded by IMAGES. The other two contain an Iron Gauntlet and a Power Staff, and are each guarded by MUMMIES. If you choose to fight, HRM2 or FIR2 will make short work of your foes. Be aware that IMAGES have extremely high Evade, so a physical attack will prove less effective than you might expect.
The Falchon is a nice upgrade for a THIEF if you haven't retrieved the various family swords yet, and the Iron Gauntlet will enhance a FIGHTER's armor even further. The Power Staff is not useful in combat, but it sells for a whopping 6,172 G, making it the most significant prize in the castle.
Marsh Cave B3
The most difficult trip to use the mystic KEY will be back into the depths of the Marsh Cave. It's probably best to save this trip for last, so you can use the equipment you've earned elsewhere to make your trip easier.
There are four locked rooms along the southern edge of Marsh Cave B3, three of which contain worthwhile treasures with powerful guardians. The southwestern room contains a Silver Bracelet, which offers a huge 11 Absorb upgrade over the Copper Bracelet. Both the room itself and the chest are guarded, although it is possible to avoid both encounters. WIZARDS await you just east of the entrance to the room, so head north and hug the wall if you want to avoid them. COBRAS guard the chest if approached from the north, but not the south.
The next room to the east contains a Silver Dagger. WIZARDS lie in wait west of the chest, while COBRAS guard the southern approach. You can safely open the chest if you follow the southern wall and approach from the east.
The third room is empty, but the southeastern room contains 1,020 gil. You will have to fight your way past a group of WIZARDS to open this treasure box.