Xellos often introduces himself as the Trickster Priest for good reason - he will mislead or cheat in order to get his purpose accomplished. (He himself stated that he never outright lies on principle; his clues usually have at least a fraction of truth in them.) Often, he will play pranks just to see the reactions of those around him, or manipulate others to do the work for him seemingly just because he can. His famous catchphrase is "Sore wa himitsu desu" literally "That is a secret". Despite his enormous powers, he prefers subtlety and manipulation over violence, although when Xellos does enter a battle, he is known to be a ruthless opponent.
Xellos was created by Zelas during the Kōma War, which took place approximately 1013 years before Slayers TRY. Unlike other subordinates of mazoku lords, Xellos is the sole immediate servant of Zelas Metallium, and thus a great deal of her power went into his creation. Because of this, Xellos is the most powerful of all the priests and generals of Ruby Eye Shabranigdu's subordinates.
In the Kōma War, Xellos singlehandedly killed thousands of golden dragons; he is feared and hated by them ever since. They refer to him as the Dragon Slayer, although he does not like this name, probably because it does not fit the "image" he wants others to view him as. After the war, before serving Hellmaster, Xellos's duty for a thousand years was to find stray copies of the Claire Bible and destroy them so that humans could not find an easy way to defeat mazoku (with Zanaffar), or utilize the power of the Lord of Nightmares. (This is not what he told Lina and her friends in Slayers NEXT, as he said he was a priest of a temple who wanted to get back a missing copy of the book.)
Xellos is widely considered to be the most powerful Mazoku under the five lords. As such he is nearly immune to all Black Magic, only the spells that call upon Shabranigdo or the Lords can even faze him; however, he is vulnerable to spells that use the power of the Lord of Nightmares, though given his speed it is unlikely that he would allow someone to cast the spell against him.
In the novels, the Slayers group generally abhors his presence, while in the anime he is treated as more of a tolerable nuisance.
In the anime, Xellos and Lina seem to have a sort of mutual respect for each other. He seems to enjoy the chaos that follows Lina, and follows her for the sake of fun even if he is not ordered to do so. In the novels Xellos seems to be more distant around her, looking somewhat troubled by the fact that Lina, unlike other humans he has dealt with, is able to see the bigger picture of things and is not tricked so easily.