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.
If you want to have any remotely possible chances of finishing the game,
you should explore the depths of the dungeon. You _can_ try to finish
the game without exploring it, but many powerful items (the Gungnir
Spear, the Glass Sword, a Nuke Bomb, etc.) lie on the bottom level.
Maybe not the first time you enter, though, because the monsters at the
bottom of the dungeon are particularly difficult. Come back when you
have the items and experience, and take them on.
There are eight levels in the Nasty Dungeon; each one becomes
increasingly more difficult.
Helpful Hint: When you reach the end of the Dungeon, the sprite
character will ask you if you thought it was nasty. Careless of what you
really think, say "yes". If you say "no," you will be teleported back to
the fifth level and have to finish all over again...