In 283 AD, Saint Sebastian served under Emperor Carinus in the Imperial Army of Rome. Due to his courage and discipline, he moved quickly up the army ranks before obtaining the rank of Captain in the Praetorian guards under the Emperors Diocletian and Maximian. To the outside world, he appeared to be a faithful and dutiful Roman pagan ; in secret he was a converted Christian who would help fellow Christians that had been arrested during the persecutions of his time. One such famous incident was when the two brothers Marcus and Marcellian were arrested. Both brothers had been serving as deacons for the Christian church and had refused to make sacrifice to the pagan gods. In prison, their parents visited them, begging the two to renounce their faith so they could be spared the tortures. Saint Sebastian not only converted the two parents, but also converted the local prefect (Chromatius), his son (Saint Tiburtius), and a local official (Nicostratus and his wife Zoe. Zoe had been mute for 6 years, when she converted her speech miraculously returned). Chromatius set all of the Christian prisoners free after his conversion. The two brothers were hidden after being released by Saint Castulus (who was famous for helping shelter and aid Christians; he and Saint Tiburtius helped bring converts to Pope Saint Caius for baptism before he was betrayed by an apostate and martyred).
In 286, Saint Sebastian's Christian faith was exposed. Emperor Diocletian, feeling a sense of betrayal, personally reproached Saint Sebastian and had him bound to a stake in the middle of a field. Once bound, archers from Mauritania (Northern Morocco) began shooting arrows at him until he had so many arrows in his body that he was described to be like a "hedgehog". He was left for dead in the field, but miraculously did not die and was nursed back to health by the widow of Castulus, Irene of Rome. Once back to health, Saint Sebastian returned to the Imperial Palace where he publicly rebuked Emperor Diocletian (imagine Diocletian's surprise seeing and hearing someone who he had left for dead!). The emperor had Saint Sebastian beaten to death and his body thrown into the sewers. A Christian named Lucina had a vision of Saint Sebastian's body and helped recover it - she would have it buried at the entrance of the cemetery of Calixtus.
Today Saint Sebastian's remains are in the Basillica Apostolorum. The Basilica was built in 367 AD by Pope Damasus I and was rebuilt in 1610 as the San Sebastiano fuori le mura. Saint Sebastian's cranium was brought to Germany in 934 and was encased in silver. This silver encased cranium was then used as a cup to present the wine of the Blessed Sacrament during the Feast of Saint Sebastian.
Saint Sebastian became associated with invocation against plagues in the early 600s when the Golden Legend tells of a plague afflicting the Lombards. The plague was only stopped when King Gumburt had an altar erected in honor of Saint Sebastian in the Church of Saint Peter in the Province of Pavia. In the middle ages, buboes from the bubonic plague resembled arrow wounds which also drew association with Saint Sebastian.
In Librin, an autonomous community of Spain, Saint Sebastian's day is celebrated by processing a statue of Saint Sebastian through the streets while people on the balconies throw bread down to the crowd. This tradition comes from the 14th century when the area was hit by cholera and the rich and well off would thrown bread down to those suffering in the streets (so that they themselves would not get sick). In India, the feast is celebrated heavily by the Catholic communities with Churches illuminated and decorated and massive fireworks displays.
His feast day is celebrated on January 20th in the Catholic church and December 18th in the Orthodox Church.