This is the fusion (via fusion-dance as opposed to using the Potara Earrings) between Goku and Vegeta. We see Gogeta in DBZ Movie #12: The Rebirth of Fusion!! Goku and Vegeta and again at the end of Dragonball GT when Vegeta and Goku are trying to stop Omega Shenron.
Gogeta is many times more powerful than either Goku or Vegeta alone. Gogeta is a totally different person, and so his personality is completely different than either of the two Saiyan's that fused to become him. Also both Super Saiyan 2 and Super Saiyan 4 Gogeta have different personalities. For instance, the Super Saiyan 2 version takes out his enemies quickly, and efficiently, while the Super Saiyan 4 variation loves to talk smack and toy with his opponents. Gogeta's power is simply enormous as he takes out Janemba effortlessly where Goku and Vegeta had easily failed before.