Cegorach

"'Whaaaaat's the deal with strip club food?! [BAZINGA]'"Cegorach, the Laughing God, is the Eldar God of art and trickery.

Official Canon
Cegorach is the protector of the Black Library, hidden deep within the Webway, which contains all knowledge about Chaos. Only his Harlequins and a select few individuals are permitted to enter the library.

During the War in Heaven, Cegorach dealt a blow against the Necrons by tricking the Outsider into eating the other C'Tan. During the Fall of the Eldar, he was one of the few surviving Eldar Gods, disappearing into the Webway to escape Slaanesh.

Cegorach is constantly working to defeat Slaanesh and save the Eldar. His Harlequins are Eldar who have forsaken their previous lives to serve him, and act as ambassadors and emissaries.

TTS Canon
Cegorach prevents Ahriman from entering the Black Library, toying with him and his men before throwing them out. However, he also encounters Wamuudes and Custodisi. Cegorach mistakes them for Solitaires trying to play a prank on him, and proceeds to say corny puns before Ephrael Stern shows up to berate him for his terrible food. He sulks off and allows the two Custodes to enter the library.

Cegorach has an unseen spectral audience that laughs at his jokes, as well as a disembodied voice that adds "[BAZINGA]" to the punchline of all his jokes.

Cegorach converses with Lady Malys through a mirror, as his only reply as to why the Inquisition was in Commorragh was to laugh uncontrollably. Malys smashes the mirror, only to start laughing herself at the thought of disposing of Asdrubael Vect; in turn, her face morphed onto Cegorach’s, while a [BAZINGA] plays ominously in the background.

Cegorach greets Magnus and Custodisi as they try to enter the Black Library. After teasing them, he offers access to the library, if Magnus can beat the Laughing God in a contest to get the most laughs from a Harlequin audience. The contest goes on until Magnus is on the brink of killing himself with self-deprecation. Cegorach cancels it to save Magnus' life, but not before having Custodisi sign a contract to ensure they will return. Instead, Magnus is asked to take Ephrael Stern and help the Eldar summon Ynnead.

Trivia

 * In Episode 14: Greatest of Psykers Cegorach's right hand (the open one) constantly twitches and bobs in sync with Ahriman as he is talking, notably while Cegorach is toying with him and tricking him into believing he needs a library card to enter. This twitching immediately stops as soon as Ahriman realizes he is being played. It is unknown if this is just an animation quirk or if it's meant to represent something - a subtle hint that Ahriman is his "puppet", perhaps?
 * There are several hints that show that he and the Emperor are working together to some extent (or at least having similar agendas) Allowing Custodes entrance to the Black Library, also to a Sister of Battle and, maybe, to Magnus himself, a former Daemon Primarch.

Quotes

 * "Killing all of your allies in the middle of a giant war was apparently a bad idea - who would have fucking thought!"
 * "I know you Solitaires play the part of the Stripper God, but this is RI-DI-CU-LOUS!"
 * "WELCOME TO THE BOOK NOOK, BOYS!"