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The Cyclone is an interesting dungeon. Despite its many twists and turns, it's actualy pretty straightforward, and filled with nice Treasure. You can even Teleport out, which is a bit surprising. As a general rule, if you take every staircase you see as soon as you encounter it, you will find everything there is to be found here. Your goal is to make it to the top and defeat the Emperor. Once you've done so, you won't be able to return, so don't miss anything!