Baron Samedi is a Lwa, a demigod of the Haitian Vodou system that intermediates between humans and the Creator. Baron Samedi is the Lwa of death, gambling, and sex
The Lwa also Loa or L'wha are the spirits of Haitian Vodou. They are also referred to as Mystères and the Invisibles, in which are intermediaries between Bondye (Bon Dieu, or good god)—the Creator, who is distant from the world—and humanity. Unlike saints or angels however, they are not simply prayed to, they are served. They are each distinct beings with their own personal likes and dislikes, distinct sacred rhythms, songs, dances, ritual symbols, and special modes of service
God in Vodou is most often seen as distant and not readily accessible to humans. Yes, Vodou is a monotheistic tradition. Oftentimes, God is considered as not accessible because simply "he is too busy." Meaning that God has the whole universe to take care of, he has many things to do. This is understandable. God is seen in the same way Roman Catholics do. He is a good, kind, loving God. Most Vodouisants are also Catholic. Mass and church services is attended. One thing about God is certainly true, we listen about God (when we go to mass), we hear about God, but we do not see God. We worship God. Due to all of this, God has invested power in the spirits we know as Lwa.
The Lwa, unlike God, are readily accessible to us. A Lwa is, at its most basic definition, a spiritual entity. Lwa can be contacted through possession. Now, this is not considered demonic. Possession is essentially what all Vodou ceremonies are directed to achieve. This is what is wanted. Possession is sought. In fact, the Kanzo (Vodou initiation) is aimed to invoke possession and improve the ability of its candidates to become possessed.
Vodouisants, do not worship the Lwa. The Lwa are served. The Lwa is served by giving them their favorite foods, wearing their colors, observing their sacred days (by abstinence), through Vodou ceremonies, etc. The Lwa in turn serve us. They confer upon us material blessings, physical well being, protection, abundance, etc. See this is a double sided matter. Without us the Lwa would not exist, and without them we would cease to exist as well.
Now that you have that basic understanding, let's get a little more complicated, shall we? The Lwa are organized into groups. This makes it easier for us to serve them, as well as define certain characteristics of those Lwa. These Lwa may have a number of different things in common. Vodou liturgy is divided into three separate groups.
Adapted from http://www.ezilikonnen.com/the_lwa/lwa.html and wikipedia