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Gonzo or The Great Gonzo is a puppet character, one of Jim Henson's Muppets.
Gonzo is blue, with a long hooked nose. On The Muppet Show he performed as a stuntman and daredevil under the name "The Great Gonzo" (or "Gonzo the Great"). He takes pride in his iconoclasm, all the while romantically pursuing Camilla the chicken.
A running gag related to Gonzo is that it's not clear what species he is supposed to be. In the film The Great Muppet Caper, he is shipped to England in a crate labeled "Whatever" (while Kermit the Frog and Fozzie Bear are labeled "Frog" and "Bear"). Though he rather resembles a buzzard, in Muppets from Space it is revealed that Gonzo is an alien...but it is not clear whether this is to be considered a canonical statement of Gonzo's origins. In Muppet Babies Gonzo (voice of Russi Taylor) was simply referred to as a "weirdo"--perhaps the best way to quantify such a creature.
Originally in the first season the character was underplayed with a permanently sleepy look. The producers noticed that he work better in a more energetic form and modified the eyes to have movable eyelids which helped make him a more active character. As such, he became an important principle character in the series.
His most well-known running gag is playing the final trumpet note of the opening theme and having some strange thing happen--the bell of the instrument explodes, sprays water, has an inflating balloon in it, or whatnot.