Immortality: No matter how much you try to kill him, he always comes back. The time it takes for him to 'respawn' is the time it takes him to wade through the waters of Oblivion again.
Trapping in Oblivion: The only way to get rid of him is by forcing him to stay in Oblivion and then closing the gate to that realm. bliviongate:
Actions: Since he follows you everywhere, and always does what you tell him to, he acts very much like a summoned Daedra. The fact that he had never appeared until after becoming the Grand Champion, and the fact that he has no real name seem to support this. It may even be possible that he is of a race of Daedra, and you unwittingly "summon" a new one every time you kill him.
If he IS a Daedra, then does this mean that he may have been able to survive the 200 year gap, and will return as an unwanted