This article is from the Final-Fantasy and other Square Soft Games FAQ, by firstname.lastname@example.org (Nick Zitzmann) with numerous contributions by others.
The blacksmith in the Dwarf Cave can make one for you. You reach this
place in the game relatively early on, but he can't make you anything
because his supply of Adamant is exhausted.
Unfortunately, you don't get any Adamant until way later in the game.
You can find some inside a chest in the Sky Castle.
When you have it, take it back to the blacksmith, and he'll make
Excalibur for you. Only a Knight can wield it.