Roy is a white rhinoceros. In Misfortune Cookie, King Julien ordered him to trample Rico 1000 times in order to get rid of a curse (you can only see his feet). His first full appearance is in the episode Skorca!.
He first played a major role in April Fools, when King Julien drew on his behind with a permanent maker as a April's fool prank in August, he went berserk and tried to kill Julien, but later it was revealed that Roy was just helping the penguins teach Julien to stop pranking the zoo animals.
He later becomes a character on The Lunacorns after the events of Antics on Ice.
Roy gets easily agitated with others (namely Julien) when they bother him. And as is typical for a rhino he charges when agitated. In Antics on Ice, it is revealed that he is also a big fan of "The Lunacorns", just like Private. He also isn't a big fan of loud noises, like the lemurs boom box. He doesn't seem to have a problems with other characters, like Burt and Ted.