Baldr is the second son of Odin and Frigg, and Snorri describes him almost entirely in superlatives — the best, the fairest, the most gracious, so luminous that light comes off his body. He lives in Breiðablik, “broad-gleaming”, a hall into which nothing unclean may come, and he is the wisest and most eloquent of the Æsir; the one qualification Snorri attaches is that none of his judgements can be made to stand, which is a strange and much-argued note to end the praise on.
Annarr sonr Óðins er Baldr, ok er frá honum gott at segja. Hann er beztr, ok hann lofa allir. Hann er svá fagr álitum ok bjartr, svá at lýsir af honum, ok eitt gras er svá hvítt, at jafnat er til Baldrs brár. Þat er allra grasa hvítast
“The second son of Odin is Baldr, and good things are to be said of him. He is best, and all praise him; he is so fair of feature, and so bright, that light shines from him. A certain herb is so white that it is likened to Baldr’s brow; of all grasses it is whitest.” — Snorri Sturluson, Gylfaginning 22, tr. Brodeur
He begins to dream of his own death, and Frigg goes through the world exacting an oath from every thing in it — fire, water, metal, stone, disease, beasts, trees — not to harm him. The oath holds so completely that it becomes a game: the gods throw weapons at Baldr in the assembly and watch them refuse to bite. Loki learns from Frigg that she passed over one shoot of mistletoe west of Valhalla as too young to swear, fetches it, and puts it in the hands of the blind Höðr, guiding the throw. It goes through Baldr, and he falls.
The aftermath is the bleakest sequence in the mythology. Hermóðr rides nine nights down to Hel, who agrees to release him if every thing in the world will weep — and everything does, except one giantess in a cave who will not, and who is generally taken to be Loki. So Baldr stays below. He is burnt on his own ship with Nanna, who dies of grief beside him, and Odin whispers something into his ear on the pyre that no one has ever recovered. The one consolation is at the far end: after Ragnarök, the Völuspá has him return to the risen land and settle with Höðr in the rebuilt halls, the feud closed.