Whenever you see a Renaissance or later artwork portraying a nearly naked, beautiful young man pierced with many arrows and often having an ecstatic look on his face, as if he is seeing into Heaven, you can be sure the artist intended the work to portray St. Sebastian.
But according to the Catholic Encyclopedia, almost nothing is known about Sebastian and the story of his being slain by arrows may be fictitious. It is known that he existed and was martyred.
St. Ambrose stated that St. Sebastian came from Milan and was already venerated there in St. Ambrose's lifetime. It was recorded elsewhere that St. Sebastian was buried on the Via Appia.
Sebastian is supposed to have belonged to the imperial bodyguard. He was killed when it was discovered he was a Christian, circa 286. Legend is that he joined the army in order to be able to secretly comfort imprisoned Christians. He is patron saint of archers.
"Sebastian is considered a protector against the plague. Celebrated answers to prayer for his protection against the plague are related of Rome in 680, Milan in 1575, and Lisbon in 1599."
January 20 is ALSO the Feast of Pope St. Fabian, another early martyr. Fabian was pope from 236-250. The Catholic Encyclopedia recounts the story that he was selected as pope because, during the election, a dove descended and landed on his head. Naturally, this reminded everyone of the descent of the Holy Spirit so they were inspired to choose Fabian as pope. (It's not clear that he was even a priest prior to this; the article says he had come to Rome from his farm.) He's credited with dividing Rome into seven districts, each supervised by a deacon, and said to have consecrated St. Denis as bishop of Paris. Fabian was killed January 20, 250, at the beginning of the Decian persecution.
Stay tuned; we have another well-known martyr on the calendar tomorrow.
Here are two paintings of St. Sebastian, one by Sandro Botticelli, one by Carlo Crivelli:


Here's a two-fer, showing St. Fabian and St. Sebastian, painted by Giovanni di Paolo:

I think that when they are shown together, it's because they share the same feast day.
Sebastian is often portrayed with St. Roch (another saint who protects against plague) and sometimes St. Antony, Abbot is with them, too.