Z is some guy who is a letter. He is the lowest ranking member of ABCDEFGHIJKLMNOPQRSTUVWXYZ.
History
Z lives with his fellow letters, but often hides under his bed. Nobody knows who came up with Z, but everyone knows that Z is dumb. He has never done ANYTHING with his group. He was killed by M, but then he came back to life four seconds later because somehow he got ahold of a 1-Up Mushroom. The only time he does anything notable is in the Shame: Z's Only Adventure. He also appears sometimes whenever someone is depicted being asleep. This is called "catching Z's".
Personality
Z is a dumb wimp that does nothing. You know what? That's a very generic personality. So, I'm going to change it. Here's the new one: "Z is the coolest letter that has ever existed because he is Z." No, let's just stick with the old one. Yeah Z is dumb.