The Ancient Castle
Go to Figaro Castle, and have the basement guy take the castle back to Figaro. When you hit something, stop and explore. Go down to the Jail, and go through the hole in the far-right cell.
Cave to the Ancient Castle
Go southeast, past the stairs, and get the chest. Now go through the southeast door, and open the chest there to fight Master Pug and win Graedus. Then go west through the wall.
Go up, through the door, up, and west through the wall. Get the chest, then go down through the door. Follow the path to a chest, then down and west through the wall.
Go up, through the wall to the left, then go past the stairs and down through the wall for a chest. Go left from there for another chest. Now go back up and go down the stairs. Save, and go up the stairs.
Go straight up through the castle, and examine the Odin statue for the Odin esper. Then, walk up to the right-side throne, then walk down five steps and press A. A passage will open. Go down and right from the thrones, and go in.
You can read the queen's diary from the bookshelf. Then go down the stairs. Further up in the next room is the Blue Dragon.
Boss: Blue Dragon
Use Lightning, or just Vanish/Doom.
When you're done with the dragon, you can check the statue above, to change Odin to Raiden. But you might want to wait for everyone to use Odin, because it is the only Esper that boosts speed.
Go back up into the throne room, then go north into the door second from the right. Get the chests and go back down through the door.
Now exit the front door of the castle, then go left from there and up through the first door. Get the chest to fight KatanaSoul and win Offering. Then go back out, walk right, past the castle's front door, and into the small door. Get the chest. Now you can go back to Figaro Castle.