The Lord is the single most important unit in the entire game. He is in command of the entire Castle and is equipped with a weapon to defend himself should he be confronted with enemy units. For more information on the characteristics of AI lords, see this page.
Should the lord die, the game will end so for this reason it is vital to protect him well. Over time, the health of your lord can "recharge" while doing Civilian duties if he has been injured during fighting. He can also be healed in the Apothecary once more than half his health has been lost.
Civilian duties include feasting and occasionally attending masses and you can recall the lord to Civilian duties at any time by selecting the Keep and pressing the "Return to Civilian duties" icon. Note that once moved to any location the lord will no longer follow his Civilian duties so you must recall him for him to do these once more.
The Lord is also one of two units that can fight mounted on horseback, or dismounted on foot- the second being the Knight. You can mount the Lord by left clicking on the "Mount horse" icon when the Lord is selected. To dismount him, select the "Dismount" icon under the same circumstance. Please note that you must have a Stables placed within your Castle that has at least one spare horse before this will work.
Tip: Plan your castle layout well. While performing Civilian duties the lord will automatically travel alone to attend masses, feasts and other events within the castle. For this reason it's imperative that you avoid any blind spots or areas where he can be caught off guard or killed easily.