Beware SPOILERS of one of the best comics around...
1944 (iirc)
A bunch of allied troops accompany three psychics and parapsychologists to the ruins of an old church in England, the said psychics claim a strange energy is coming. (Mind you, this has a slight Golden Age view of WWII, they even have a "masked man", the Torch of Liberty, along with them).
Unbeknownst to them, in an island nearby, a group of Hitler's inner group of mystics, led by a bearded man, perform a strange ceremony. Lightning ensues, but nothing happens... there.
Back in the church, fire is spewed from the ground and a small demon appears in the middle of the allied troops. One of the psychics there (a woman) mentions the demon looks like a 'little boy'. Another psychic (Prof. "Broom") says "Yes. A hell-boy.", thus naming the creature.
The creature Hellboy was then raised in secrecy by the american government in New Mexico, like any other child (pancakes and stuff). Upon reaching maturity (some 10 years later), the Hellboy is accepted into the newly-created BPRD (Bureau of Paranormal Research and Defense, a mystic FBI of sorts).
Hellboy takes a very blue-collar approach to his battles with the supernatural, not unlike the way a plumber looks at a leaking pipe.
Hellboy is 6'-something, fully red, with cloven feet, a short tail, a powerful phisique and a HUUGE stone hand in place of his right one (it was already full-sized even when he was boy-sized). No one knows the true powers of that hand, but as Hellboy himself says "it's better in a fight than a sledgehammer".
Hellboy wears a trenchcoat filled to the brim with amulets, charms, pendants, crosses and what-have-you that can protect him from almost anything magical. He carries a gun, even though he admits being "the worst shot ever".
He has big "corks" in his forehead, which are actually the stumps of his horns, which he saws off, rejecting his demonic heritage (in the comics he's been granted human status by the United Nations, and is the world's foremost paranormal investigator).
Hope this helps!