Hell's Lord is the final boss of Blue's/Rouge's storyline in SaGa Frontier. As his name implies, he is the ruler of Hell. He, along with Hell itself, was created in ancient times when a person from the Magic Kingdom collected the Rings of Power and wished for them to create Heaven. The rings, being naturally evil, instead created a Hell with the appearance of Heaven, inhabited by demons. Hell was sealed, but with time the seal started to weaken, so the people of the Magic Kingdom choose a powerful wizard and split his soul in two, creating Blue and Rouge, so that they could learn all kinds of magic and become powerful enough to fight the Hell's Lord.
After their fated duel, Blue and Rouge became one again, returning to the Magic Kingdom only to find the place in ruins. Blue/Rouge finds out that the demons were escaping from Hell, and the only way to stop them was to fight Hell's Lord to seal Hell forever. Blue/Rouge ventures into Hell alone and fights Hell's Lord while the place is sealed forever, with him as well.
According to the game's guidebook, Blue/Rouge managed to escape Hell by sheer willpower, after remembering of his friends on the outside.