Sheik

A mysterious warrior with great wisdom and strength, Sheik is one of the last surviving Sheikah in Ocarina of Time. He aids Link on his quest without really describing who he is or why he is aiding Link. He has great advice, wisdom, and knowledge of the world, making him an invaluable ally for Link. Sheik is also the teacher of the various warp songs that Link uses later on in his quest.

All of the quotes from Sheik can be read here

Ocarina of Time
Sheik reveals himself to Link shortly after Link is freed from the Chamber of Sages after his seven year imprisonment. He informs Link that he must awaken the seven sages in order to bring peace back to Hyrule. Alerting him of the need to possess a new tool in order to enter the temples, Sheik stays in front of the pedestal. He then later appears when Link arrives at the Sacred Forest Meadow. He tells Link about the warp songs used to warp to temple entrances and teaches him the Minuet of Forest before disappearing again. Further along, Sheik approaches Link at the Fire Temple entrance in the Death Mountain Crater, teaching him the Bolero of Fire before walking away, using a wall of flame to halt Link's inquiring advance.

Sheik once again mysteriously appears in the Ice Cavern to inform Link of the fate of the Zoras and to teach him the Serenade of Water. He then awaits outside the Water Temple for Link to free the temple and awaken the Water Temple sage before disappearing once again.

When Kakariko Village comes under attack from a mysterious force, Link discovers that Sheik is already there. Together they encounter and are defeated by an invisible monster thought to be the Shadow Spirit. Sheik teaches Link the Nocturne of Shadow and urges Link to help Impa fight the Shadow Spirit. When Link discovers that he must venture back in time in order to do so, Sheik offers a helping hand informing Link on how to use the Master Sword and the Pedestal of Time in order to travel back and forth through time. He teaches Link the Prelude of Light then once again vanishes.

At the entrance of the Spirit Temple, Sheik appears to have been waiting for Link from atop a large rock formation, and once again, informs Link that he must enter the temple as a child, utilizing the Pedestal of Time in the Temple of Time. He gives Link a lesson on performing the Requiem of Spirit before using the desert winds as cover to vanish. 

With all six sages freed, Link is instructed to return to the Temple of Time where none other than Sheik awaits. Sheik congratulates Link on his efforts and offers an explanation on what exactly happened to Hyrule during Link's disappearance before finally revealing his true identity, as Princess Zelda.

Twilight Princess
According to the Super Smash Bros. Brawl official site, a design of Sheik was drafted as he might appear in Twilight Princess, but this idea was later scrapped. His Twilight Princess model was used in Super Smash Bros. Brawl.

Super Smash Bros. Melee
In Super Smash Bros. Melee, Zelda has the option of transforming into Sheik. To do this, you must press down the analog stick while pressing the B button. Sheik has a completely different moveset than Zelda. Sheik's moves and weapons are quick and similar to those of a ninja. Sheik is an extremely speedy character and for this reason he could be a bit difficult to control. Although he has an original moveset, she is found to have similarities with Captain Falcon. In Melee, the two of them have a more powerful star rod attack. In the game, Sheik is always referred to as a female.

Super Smash Bros. Brawl
Sheik appears again in Super Smash Bros. Brawl. Although he did not appear in Twilight Princess, the character model was based on a design drafted during the game's development. He has mostly the same moveset from Melee, and shares a Final Smash with Zelda, the Light Arrows.

Ocarina of Time manga
Sheik first appears to Link having tended his wounds after being defeated by Volvagia. Sheik is a spy for Ganondorf and later shows up to tell Link a rumor that Princess Zelda had been spotted in the Desert of Illusions, before vanishing again. On Link's way through the Desert, he nearly succumbs to blistering sands before Sheik pulls him out and continues to travel with him. Later that night, Link is attacked by illusions and images of his past, but Sheik is unaffected; Link wonders if it could be due to a lack of past in Sheik's life. Once reaching the Gerudo Fortress, Sheik knocks Link out, and the Hero is captured.

Once Link frees himself, he fights through the ranks of Gerudo, before Sheik comes to him with his sword and shield. Throwing them to Link, Sheik attacks the invisible Twinrova, who were watching nearby. They accuse Sheik of being a traitor. Sheik replies," A traitor? I was never one of you!" The Twinrova then blast Sheik into unconsciousness.

After escaping with the unconscious Sheik, Link finds a cave to rest in. He leaves to find water, flustered after getting too close to Sheik. He returns to find that Sheik, having awoken with the face wrappings off, appears to be female. Fully transforming, Sheik is revealed to be Zelda, who later explains that she had Impa lock her consciousness away and assume the disguise of a Sheikah boy.

Gender Issues
As Sheik spends most of the latter part of the game disguised as a male, many fans have argued to Sheik's true identity. There is no hint given in the game that Sheik is in fact a male; however, at one point Ruto refers to Sheik as a "he". This is most likely explained by Ruto being unaware of Sheik's true nature, Sheik's build being more suggestive of a male.

Various theories to Sheik's true gender exists, partly due to the Ocarina of Time manga, which deviates from canon, in which Princess Zelda had sealed away her consciousness and transformed herself into a Sheikah male. However in both Super Smash Bros. Melee and Super Smash Bros. Brawl, Sheik is referred to as female in the description of her trophy and throughout the game itself.

Trivia

 * In the game Paper Mario, released two years after Ocarina of Time, there is a Little Mouser king named Moustafa. To keep himself from being found, he disguised himself as a information dealer named Sheek, most likely a reference to Sheik.