Saxton Hale has never actually appeared in Team Fortress 2, but has been depicted on faux comic books & weapons ads for the various TF2 class updates. His first appearance was during the Sniper Vs. Spy Update where he is in a magazine advertisement for spy gadgets (Dapper Rogue - Catalogue for the Gentleman Scoundrel) much like Charles Atlas would appear in magazine ads, brandishing his puffy chest while wearing short-shorts. The magazine he appears in are apparently weapons catalogs/comic books for his own company, Mann Co.
Since his first appearance, Saxton Hale has appeared in several other TF2 updates, and has even appeared in the first TF2 Comic. The comic was developed as a plot builder for the WAR! Update, where a friendship between a BLU Soldier and a RED Demoman is torn apart, and they then become brutal enemies.
The Sniper Vs. Spy ad had an order form that some die-hard TF2 fans sent to Valve headquarters and in return were rewarded with some exclusive, unreleased comic book covers from Mann Co. featuring and autographed by Saxton Hale himself. The comic book franchise is titled Saxton Hale's Thrilling Tales. They even provided a backstory to the comic:
Saxton Hale's Thrilling Tales first arrived on newsstands in 1961 as part of a bold Mann Co. initiative to sidestep an increase in postage costs for their weapons catalogs. The first 64-page issue contained four pages of thrilling tales and 60 pages of ads for exciting new Mann Co. products. But Thrilling's editors quickly discovered that showing Mann Co. founder Saxton Hale using a product in the story itself tripled its sales. Ads were cut to 32 pages to accommodate longer, product placement-based stories.
The comic book covers have since been released for sale on Valve's online store.
When Valve released its comic collection entitled Valve Presents: The Sacrifice and Other Steam-Powered Tales, the introduction was written by Saxton Hale.