Philosopher's Stone

At the Welcoming Feast, Harry sees the Bloody Baron at the Slytherin table. He is apparently sitting quite near Draco Malfoy, who is looking rather uncomfortable; this cheers Harry up a bit. Seamus asks Nearly Headless Nick why he is all covered in blood, and Nick replies, primly, that he had never asked.

We hear later that Professor Dumbledore and the Bloody Baron are the only people who have any measure of control over Peeves.

When Harry, Ron, and Hermione are on their way to the Trophy Room for the Wizard's Duel with Draco, they run into Neville who has been locked out of Gryffindor Tower because he forgot the password. Neville insists on going with them; he says the Bloody Baron has been by twice already.

Harry impersonates the Bloody Baron while under his Invisibility Cloak with Ron and Hermione, to avoid being caught by Peeves as they head for the trap door.

Half-Blood Prince

Returning from Hagrid's hut, where he has just retrieved a much-needed memory from Horace Slughorn, Harry finds his way back into the Common Room barred by The Fat Lady who tells him that it's after midnight and the password has changed. Harry comments to Nearly Headless Nick, who is passing idly through the wall, that he really wants to see Dumbledore; Nick tells him that the Bloody Baron had just seen him returning.

Deathly Hallows

From The Grey Lady, we learn that the Bloody Baron had been sent to bring her back from the forest in Albania where she had been hiding, to see her mother Rowena Ravenclaw on her deathbed. When she refused, he became angry, and killed her; discovering what he had done, he turned his dagger on himself.