Xelloss's personality is very complex and well-developed throughout Slayers Next and Try. It's one of the things that make him one of the most loved character of Slayers (and my all-time fav ~_~). There are many aspects of his personality that I'd like to explain, trying to do it all very detailed and to the best of MY comprehension and opinion.
Xelloss has a very immature and playful nature when it comes to this. He sees everything as "games" and Lina and the others are usually his "players", always sending them on wacky (and troublesome) adventures as part of his job. He loves trouble and doing everything by the book is something Xelloss would never do because then it "wouldn't be any fun" for him.
Xelloss is one of the most mysterious characters in Slayers. He is always coming and going as he pleases, and when he appears it usually means trouble for the others. He is also not one to brag; he hardly even speaks about anything concerning his past, his goal or his true intentions and, when asked, his answer is always "Sore wa himitsu desu" (means "That is a secret!").
Xelloss has a very laid back, carefree attitude. Even when things are at his worst, nothing seems to bother him and he just shrugs everything off without a care in the world. Hell, the world can be crumbling down right in front of him and taking him with it and he would STILL be smiling!!! The few people than can actually get him mad is Filia and Valgarv.
Xelloss is a sadist, which means he likes to cause pain and anger wherever he goes because he is a mazoku, and mazoku feed on negative emotions because that is what gives them power. A way to prove this (well, besides the obvious mazoku thing) is when that he usually appears when Lina and the others are in a tough situation and uses their feelings to his advantage.
Apart from liking to inflict pain on others, Xelloss also likes to feel pain, anger and all that due to his masochistic streak. One example of this is when he lets Gaav kick his ass during Next and instead of fighting back, he teases Gaav more and even says to him "Sore wa himitsu desu".
Though he often pretends to be a moron and completely clueless as to what is happening (unlike Gourry. That comes to him naturally ^_^), Xelloss is extremely intelligent and knows better than to do something without weighing out all possible consequences (unlike a certain redheaded sorceress...) and seeing which path he could benefit the most from. He is also very alert and knows how to see right through people, which always gives him an advantage over his enemy. The fact that he's also older than Lina and the rest means he's had more life experience.
Due to his intelligence, Xelloss is extremely good at manipulating others into doing whatever he pleases, and he always does this in the most subtle manner so that no one finds out (and no one usually does!). It also makes him a bit of a smartass because he knows that if someone actually sees through his plan, he could just kill him/her/they right on the spot ^_^.
Despite the fact that he's a mazoku and mazoku are evil, Xelloss is a very friendly and seemingly kind person, another quality that may imply that he was a human and that Zellas then turned him into a mazoku.