Zero is probably the most interesting character out of them all, as absolutely nothing has been revealed about his story. What I can tell you though is that he’s a ninja without a real face. To express how he feels, a holographic emoticon will show up on his helmet’s faceplate. Zero also displays a zero whenever he kills someone, which is probably how he got his name. The ninja wields a light saber sword which works well with his ability; "Deception".
Deception acts as a cloaking device, allowing Zero to go undetected for a period of time. The longer he is in stealth, the more damage his attacks do on his enemies. As he disappears from view, Zero also leaves behind a decoy at his last known position, and with the "Unforeseen" skill, this decoy can explode on nearby enemies. Zero’s skill other skill, "Be Like Water", increases gun damage every time he performs a melee attack and increases that attack for every gun attack he uses. Since his class replaces the Hunter class from the first Borderlands game, expect him to be handy with sniper rifles as well.