After you obtain the first stone, you can enter the throne room behind the king. Look for two barrels placed in front of a dark hallway. Go to the top step of the stairs to slip past the barrels to collect a spirit. You can also go to the library with the wind gem. Search the bookcase near the right-hand corner of the room to find the other half of the secret passageway behind the throne room.
If you want a very high Agility stat to avoid enemy attacks more often, there's a very simple way to do it. First, head to an open space - in Brannoch, Melrode and the path along Melrode Monastery work nicely - and start rotating the control stick so that Brian will continuously run in circles. While you're rotating unplug the N64 controller you're using. If done correctly, Brian should still be running in circles. The more you run, the more Agility you gain. With this method you can leave the console on and gain a nice amount of agility without any work.