After a long cutscene, it's finally time to face off against Zeromus. He is a bad ass. You can have Edge try to Steal the Dark Matter from him, which apparently weakens Big Bang in some way, but the probability of success is so low that I don't really suggest it. The battle won't properly start until Cecil uses the Crystal, so feel free to buff up your party, with the understanding that Zeromus's Black Hole attack is a group Dispel. (At least, as far as I can tell it is.)
Zeromus's most dangerous attack by far is Big Bang, which deals ridiculous damage to the whole party. Your #1 priority is to keep Rosa alive, because getting her back up without everyone else dying is quite difficult. Make sure she has a Ribbon and a Protect Ring, and have her cast Shell as well. I highly recommend giving her the White Robe and Sage Staff to maximize her Will score, because you're going to need all the healing you can get. Edge should Throw every powerful Weapon you have, starting with the Knife. Kain is probably best off using Jump, to avoid Zeromus's attacks. Cecil should pound away with physical attacks (if you're daring, take off the Crystal Armor and cast Berserk on him). Rydia, whenever she's alive, should summon Bahamut or cast a powerful Spell like Flare.
This is a long battle with two stages. Zeromus will counter Spells and summons, but not normal attacks, and will use Big Bang regularly. Once you see him start casting Spells like Flare, you know you're doing well. Eventually he'll even begin casting (a mercifully weak) Meteo. Keep up your assault. Remember, keeping living party members at high HP is a higher priority than reviving KO'd members other than Rosa. Rydia in particular can afford to stay KO'd, since her Spells lead to a lot of counterattacks anyway.
Zeromus's most dangerous attack by far is Big Bang, which deals ridiculous damage to the whole party. Your #1 priority is to keep Rosa alive, because getting her back up without everyone else dying is quite difficult. Make sure she has a Ribbon and a Protect Ring, and have her cast Shell as well. I highly recommend giving her the White Robe and Sage Staff to maximize her Will score, because you're going to need all the healing you can get. Edge should Throw every powerful Weapon you have, starting with the Knife. Kain is probably best off using Jump, to avoid Zeromus's attacks. Cecil should pound away with physical attacks (if you're daring, take off the Crystal Armor and cast Berserk on him). Rydia, whenever she's alive, should summon Bahamut or cast a powerful Spell like Flare.
This is a long battle with two stages. Zeromus will counter Spells and summons, but not normal attacks, and will use Big Bang regularly. Once you see him start casting Spells like Flare, you know you're doing well. Eventually he'll even begin casting (a mercifully weak) Meteo. Keep up your assault. Remember, keeping living party members at high HP is a higher priority than reviving KO'd members other than Rosa. Rydia in particular can afford to stay KO'd, since her Spells lead to a lot of counterattacks anyway.