Kaio-sama is the god of the North Galaxy and an expert in martial arts (although you wouldn't know to look at him). He lives on a tiny planet with Bubbles, the fastest monkey in the universe, and with Gregory, the fastest talking cricket in the universe, in the afterlife at the end of Snakeway (a ridiculously long road). In order to train under him and\or visit him, one would have to run or walk the entire distance of 10,000 miles. The gravity on his planet is 10 times that of Earth's and is part of the reason why everyone gets so damn strong after training under him.
He trained Gokou for the battle against the Saiyajins: Vejita and Nappa; teaching him the art of Kaio-Ken, and the very useful and powerful Genki Dama (Spirit Bomb for you dubbies). Tienshinhan, Chaozu, Yamucha, and Piccolo all trained on his planet during the Freezer saga and increased their strength considerably. Tienshinhan went from a power level of about 2,000 to defeating Jeisu and Baata at the same time (their power levels at the time were about 50,000 each).
Kaio-sama frequently affects the Dragon Ball universe by talking to the Z Senshi telepatically (which is his specialty). Once Gokou learns to teleport, he visits Kaio-sama whenever he needs to. He uses his planet to teleport to other planets in the galaxy like new Nameksei and the new Vejitasei. Gokou also used poor Kaio-sama's planet as a way to dispose of Cell once he had turned into a time bomb. When Cell exploded, he took Gokou, Kaio-sama, Bubbles, and Gregory with him. In the seven peaceful years after Cell, Gokou trains on the Kaiosei (a small planet in the middle of the four galaxies that the Kaio live on), where he acheives Super Saiyajin 2 and 3.
Kaio-sama doesn't appear again in DBZ until the very end when Vejita uses Kaio's ability to talk telepatically. He makes some more appearances in the movies, but these roles are very small. He's also in DBGT, but doesn't do much except allow Gokou to use his telepathy to commune with the entire North Galaxy (Or was it the universe?) to give him power for another Genki Dama against Ii Shenron.