Jesters usually play the part of a creepy extra addition to the story. They do this by appearing at random times and telling stories or giving information. They also can be an enemy, whether a main villain, or just a henchman. Finally, they can be the playable character. Usually if they are the playable character they have a sort of sinister or creepy aspect to them. Examples of this are Shaco from League of Legends, the Harlequin from Assassin's Creed Brotherhood, and many, many more.
Jesters have a sort of trademark style of appearing. They usually are very sneaky, and will appear seemingly out of nowhere. Many times, when they seemingly appear, they will tell a creepy riddle, or some sort of cryptic message that is supposed to guide you on your way or just to plain frustrate you. Examples of these mystical appearance style is Shaco's deceive move in League of Legends, where he teleports and goes into stealth, as well as the jester in Devil May Cry 3 who always appears at random times with strange things to say.