No, not THAT Siegfried, but the character in Final Fantasy VI. who presumably has his roots in the Sigurd of Norse mythology.
He makes a few appearances, suggesting that he might turn out to be important, but he really isn't. Not as far as we can tell, anyway. He first shows up on the Phantom Train, where he introduces himself as the world's greatest swordsman. He doesn't live up to his boasts by any means, however, as he's actually quite wussy. He does manage to escape with a treasure, though.
As I mentioned last week, Ultros makes a reference to him when attempting to steal the golden goddess statues. That would suggest that the two of them know each other, but Ultros gets around so much that I would imagine just about everybody knows him. On his next actual appearance, he follows Edgar and his gang of thieves into Figaro Castle, taking much of the treasure he finds along the way. After that, he spends the rest of the game in the Coliseum, where he's a quite formidable opponent. His attacks include the damaging Metal Cutter and Hyperdrive.
You can talk to Siegfried outside battle, and he mentions that an impostor has been pretending to be him. With only three appearances, however, it's difficult to tell which ones are real and which fake. The Siegfried on the Phantom Train might be the impostor, since he's so weak, but it's also possible that he just leveled up a whole lot after that. When he appears on the train, he's referred to as "Zigfried," which is presumably how he'd pronounce it if he has the German accent hinted at by his name. This could also be an indication that he's not the real McCoy, though. I understand that the Game Boy Advance version of the game cuts out the impostor reference entirely. Maybe it was something the game developers wanted to do more with, but there wasn't time and/or space.
Not surprisingly, the fake Siegfried has been the source of some fan speculation. I remember seeing a few suggestions that the impostor could be Baram, Shadow's former partner in crime. I don't know that there's much reason for this identification other than that they're both characters with names but little development, though. On the other hand, Baram was a train robber, so that could explain why you come across him treasure hunting on the Phantom Train. I also remember one person on the alt.games.final-fantasy newsgroup promoting the idea that Locke could have been disguising himself as Siegfried while not under the party's control, although I forget his reasons. I guess this would mean the Siegfried on the Phantom Train was real, though, since Locke was in South Figaro at that point.
Being intrigued by the character of Siegfried in the game, I decided to do some research on the figure, partially to see if it could give me any indication as to the mysteries surrounding him in the game. It didn't, but I still found out some interesting stuff. My first reading on Siegfried was a book from the school library, which told the tale of the legendary hero in a manner that reminded me a bit of Arthurian lore. I wrote the story "Siegfried in Oz" using this version of the character, but I later found out that there were many different takes on the character's adventures. They had elements in common, but some parts differed considerably, like the history of Siegfried and Brunhilda. Considering the general opera theme in FF6, what with the opera house being a considerable plot device and one of the major kingdoms being called Figaro, the Siegfried in the game might be intended as a reference to Wagner's Ring Cycle, in which Siegfried plays a major role. In fact, it's the title of the third opera.
I actually said a bit about Siegfried in a past entry, focusing on his near-invincibility. As for the Oz story, I've been planning a longer tale based on my main ideas from it, with Siegfried replaced by an ancient Ozian hero of my own making.