Excalibur and Masamune appear in most ff games.
FFI- Excalibur could only be equipped by a knight, and you obtain it by going through a side-quest. Masamune is found in the entire dungeon, has more power than Excalibur, but can be equipped by any class. (Though you wouldn't want to give it to your White Mage...do you?)
FFII- Legendary weapons found in the final dungeon, Excalibur has the best ATK power for a sword, and Masamune has decent ATK and casts Haste on the party (very, very useful!)
FFIII- Same as above, only no special effects. (That I know of anyway...)
FFIV- Excalibur is Cecil's second best sword, obtained in a similar way as FFI. Masamune is Edge's best sword (better clone it

), found in the Core of the Moon. (You had to defeat Dark Leviathan/ Ogopogo to get it.)
FFV- Legendary Weapons. Unlocked by using the stone tablets. Excalibut is a powerful sword with Holy elemental, and Masamune is a powerful Katana that gives an ability similar to "Initiative" to the wearer.
FFVI- Also powerful weapons. You got Excalibur from Goddess, and I believe Masamune....well, I forgot.
FFVII- Though Excalibur wasn't in this game, Masamune is Sephiroth's legendary blade. You couldn't use it though. Poor you.
FFVIII- Like above, they are two of Gilgamesh's special attacks.
FFIX- Masamune is one of Zidane's swords, with the "Doom" status-attack. Excalibur is one of Steiner's best swords.
FFX- Masamune is Auron's rather odd shaped (it looks like a fork...) Celestial Weapon. Tidus had to settle for the Ultima Weapon. (Renamed Caladbolg?!)
More history on Masamune and Excalibur in FFs
