Chocobo helps you get.....I believe three materias right? Anyways, one is the Knights of the Round and the HP<>MP materia plus the...I forgot, I'll add it later.

You could get HP<>MP by just using a green chocobo or a black chocobo. It is in a cave which is covered with dust outside located a little north of North Corel. Get KOR by using a gold chocobo at the top right of the map. The small island is surrounded with mountains and a bunch of forest filling in all of the island with a cave at the end.