I'm sure this one will gain some scrutiny from people saying I'm slipping him in because of the popularity of Destiny. That isn't the case with Xur; while playing I found him fascinating as a merchant in general. (If I wanted to appease Destiny fans, I would have used Master Rahool instead and then capitalized on his new easter egg in the former Loot cave.)
With that out of the way, Xur is a complicated person to track down. He vanishes each week and appears in a new spot on the weekends. He offers up new rare items in exchange for Strange Coins, which are reasonably hard to collect, thus making the goods worthwhile.
Having existed in a system outside of explored Space, Xur is part of a race, speculated as the Jovian, ruled by higher beings known as "The Nine". While the Nine are an quite easily described as transcendant beings that have to do with The Traveler and The Darkness, Xur is merely an agent of the Nine.
He speaks openly that he doesn't understand who the Nine are and even mentions his body is dying soon. He's an enigma that intrigues me and also he sells some pretty awesome items.
Besides, he's like RE4's Merchant in design, and that is enough to warrant investigation. Hopefully soon Bungie will give us some more insight as to what he is rather than just some humble black market dealer.
Thanks to DBMgamer0722 on YouTube for more information on Xur and the Nine!
Image Source: Gamerant.com