What you can do:
Ride a chocobo or bet on other riders. When you win you will get prizes, such as items or GP
In order to ride your own you must own one. Rent a stable at the farm and then catch one. See the Chocobo Breeding for info of how you make a good chocobo.

Special Items:

Enemy Lure - A materia that makes enemies attack you more often. Good when you need to raise your level.

Cat`s Bell - An armor that restores HP as you walk