Thamasa
When the SrBehemoth is defeated, the party automatically takes Shadow or Relm back to Thamasa. Due to some bad programming here, they will refer to Shadow as "she," but this is a mistake, not some kind of subtle hint about Shadow's identity. Assuming it was Shadow you rescued, you'll see a unique dream of his. Whichever Character you rescued will be gone as soon as you leave.
The people of Thamasa will tell you a few items of interest. A thief here repeats a rumor you've heard elsewhere that people who sleep in Doma Castle are attacked by demons. One man wandering in the middle of town will let you know that Shadow has gone to the Colosseum. A woman also reveals that Ebot's Rock is now above water north of town. If you had Strago speak to Gungho in the World of Balance, you may remember them mentioning that name. There is currently no way to enter Ebot's Rock, though.
Encounters near Thamasa
You won't necessarily get into any battles in the Thamasa Area unless you do so on purpose, but you may want to in order to learn Rages or Lores. The plains and forests are populated by Harpies. These large birds can counter Magic with the Near Fatal Ability Cyclonic. They have no Elemental vulnerability, so it is prudent to stick to physical attacks. They may use the Aero Lore for moderate Wind damage to the whole party. They sometimes appear with a Prussian, bears with a powerful Bear Hug special. They have similar HP and lack of weaknesses to Harpies.
In the wastelands, you'll instead find GloomShells, sometimes also accompanied by a Prussian. GloomShells can use Net to cause Stop every other turn. If they're the only Monster on the battlefield, they will use their Rock special to Petrify party members. Unlike the other Monsters in the area, they have an Elemental weakness, to Ice.
The Colosseum
If you rescued Shadow, you can recruit him by wagering the Striker at the Colosseum. He is not a difficult opponent, unarmed as he is. You shouldn't have a problem winning, but be sure to save before you try. You'll win back the Striker along with Shadow, who finally joins with no intention of ever leaving. Plus, unlike his stint on the Floating Continent, he has full use of Interceptor now.