Final Fantasy IX: Chocobo Hot and Cold (Disc 1)

Chocobo Hot and Cold is, perhaps, the single largest subquest in Final Fantasy IX. It's first accessible on the way to Bermecia, on Disc 1.

Chocobo Forest is located to the north-east of Lindblum's Dragon Gate. You'll need to cross the bridge.

Once you enter, Mene will introduce himself and Choco, and hand you some Ghysal Greens. Head outside to the Chocobo tracks on the ground nearby, and use them from the menu. Ride Choco back into the forest, and talk to Mene to enable Chocob Hot and Cold.

The game itself is amply explained within the game. You run around on Choco and press square to dig. If you see Kweh? it means there is an item nearby. Kweeeeh?! means you're even closer. KWEEEEE-EH! means you've found it. Keep hitting x until the number that appears is reduced to zero. Choco can dig at a rate equal to his beak level + 4, iirc.

What you're searching for here are Chocographs. These are pictures of locations outside where Treasure can be found. There are 23 Chocographs in total, spread over two locations - Chocobo Forest and Chocobo Lagoon. Initially, there are nine available in Chocobo Forest, along with one Chocograph Piece, and you'll want to get these before going any further.

No, really, you will.

I find that, when searching, you'll average one Chocograph for every fifty points you earn. This is good to know, especially when the game is being a pain. After you've dug up the first nine Chocographs, Mene will tell you that Choco can't find any more here for now. You won't be able to find any more in Chocobo Forest until Choco learns how to climb mountains.

Now, the first nine Chocographs are as follows;

Streamside
Uncultivated Land
Healing Shore
Cold Field
Between Mountains
Small Beach
Birds-Eye Lagoon
Abandoned Beach
Faraway Lagoon

The first one you'll be able to get is Streamside. It's right outside the forest, to the west of the bridge. Between Mountains is near Lindblum.

After heading through Gizamaluke's Grotto, you'll be able to reach the Healing Shore, to the south-west of Cleyra. This will give you the ability to wade in shallow water - allowing you to come back to the Lindblum side of the mountains and get Birds-Eye Lagoon and Small Beach.

You can find a map here, to help you locate individual Chocographs.