Sigma is the main antagonist of the Mega Man X series. In all but 2 games, he serves as the final boss (the two games being Command Mission and Mega Man X8).
Sigma was created by Dr. Cain and was made to be the finest of the Reploids. He was the first leader of the Maverick Hunters; Reploids who were sent to keep the peace and defend humans against the renegade Mavericks. However, in Mega Man X, Sigma himself goes Maverick. He turns evil, becoming the leader of the Mavericks and tries to destroy mankind. New Maverick Hunter X, along with the experienced Hunter Zero, were able to defeat Sigma. Unfortunately, Sigma was able to return time and time again, seemingly forever.
In Mega Man X8, Lumine, who intially appeared to have been kidnapped by Sigma, ended up being the true mastermind behind the plot of the game. After X, Zero, and their friend Axl were able to defeat Sigma, Lumine told them that Sigma was dead for good. Because Capcom has yet to release any further games in the X series, it remains to be seen whether Lumine was telling the truth.
Sigma often appears as a tall, bald, middle aged human android. When he is defeated, his programming remains and transforms him into a much more deadly enemy. This would explain his constant appearance as the final boss in the Mega Man X series.