He was was the third Roman Emperor, reigning from 16 March 37 until his assassination on 24 January 41. He is popularly thought of as being the head of a particularly eccentric and sadistic regime - even by Roman standards. Historians argue a great deal about whether he was mad, bad, or mad and bad.
My favourite Caligula anecdote is that he raised an army to conquer Britain but by the time he reached the English Channel he had changed his mind and decided to go to war on Neptune instead. So he had the Roman legion beat the sea with their swords, declared a victory and ordered them to take all the shells off the beach as spoils of war (if the story is true I imagine the soldiers thought they got a good deal out of this - as it counted towards citizenship - but the Roman authorities were probably less than impressed, to put it mildly).
That was his lighter side, however, and after a few years of rule he had made so many enemies that the authorities of Rome arranged his assassination.
Hence his last words (as Camus interprets them anyway).
The Wiki page about him is pretty good if you want to read more: Caligula - Wikipedia, the free encyclopedia