Mixing together the best parts of pulp, horror, fantasy and action, you need one heck of main character for the reader to connect with, and creator Mike Mignola definitely delivered.
For the purposes of this post I'm going to stick with the character as portrayed in the comic series - I love the movies, but the comics are my personal favourite. Most of the stories in the Hellboy series involving him solving a problem created by some creepy creature from folklore either with a clever bit of thought, or failing that, by beating the everlasting crap out of the thing.
As a character, Hellboy is just about the perfect mix of horror (he is a demon), and a blue-collar mind-set, he might not love his job, but he is the best at it there is and the job needs to get done. Unlike the first film, the entire world in the comics already knows about him (the United Nations granted him honourary human status in 1952).
What I love the most about Hellboy is pretty simple, for a guy who is red, horned, mistaken for some kind of ape, and has a stone hand/key to the destruction of the world, he is one of the more human characters I've ever had the pleasure read, he just resonates with me, and as you read further and further into the comics, you start to understand just how decent a guy he is.