One thing that makes Hellboy a loveable character is that he is a monster that nonetheless has a human side. With his hulking figure, blood red skin, and nubs which were once horns, he gives off the image of a monster, some sort of ape-devil thing. Nonetheless, he has a human side. He has a sarcastic sense of humor and gets emotional at times. He also ends up fighting for the forces of good, namely the B.P.R.D. against evil forces.
Another reason is that his stories are very fleshed out and an entire universe has been spawned based off the Hellboy mythos. Furthermore, the stories of Hellboy also have a mystical feel to them. They suggest that beyond everyday life is this fantastic world about to break in to our mundane world of matter and motion. Within this realm is great danger with frightening, hellish creatures, but there is also the potential for wonder and beauty. Hellboy reminds us of that in a strange way.