"How did he get covered in blood?"...
"I've never asked...
-- Seamus Finnegan and Nearly Headless Nick (PS7)
The Bloody Baron is the Slytherin House Ghost, a grim, silent, and terrifying specter with a gaunt face and blank eyes. His robes are covered with silver bloodstains. He is never heard to speak, although Harry does impersonate him once, using a hoarse whisper (PS16).
When living a millennium ago, the Baron was in love with Helena Ravenclaw, the daughter of Rowena Ravenclaw. When Rowena lay dying, she sent the Baron to find Helena and beg her to come back. Helena refused and the Baron lost his temper and killed her. In his remorse, he committed suicide with the same knife, and now carries the bloody evidence of his crime on his ghostly clothing (DH31). He also carries chains as a sign of penitence (DH31).
Peeves, who respects the Baron for some unknown reason, calls him “Your Bloodiness” and “Mr. Baron.” (PS16).
Nearly Headless Nick tells Harry that he hopes Gryffindor wins the House Cup because Slytherin had won it for the last six years and the Baron has become "almost unbearable" (PS7). This suggests that the Baron takes pride in Slytherin and its students.
Harry notices that the other ghosts at Nick's 500th Deathday Party give the Baron "a wide berth" suggesting that other ghosts, as well as Peeves, fear the Baron (CS8).
During a ghost council meeting, the Bloody Baron refuses to let Peeves attend the start of term feast despite the Fat Friar's willingness to give him a chance (GF12).
Making others fear and avoid him without effort, controlling Peeves,
Other canon notes and references
Plot Point: Nearly Headless Nick tells Harry that the Bloody Baron likes to "clank around" up on the Astronomy Tower, and later that is where Dumbledore meets his death .
"Where is he?"
"Oh, groaning and clanking up on the Astronomy Tower, it's a, favorite pastime of his —"
"Not the Bloody Baron — Dumbledore!"
"Oh — in his office"
In PS/f, the Bloody Baron is inexplicably depicted as rather frilly and goofy, not at all like the character in the books.