Lady of Pain
A Guvner could fill ten libraries with all that's been guessed about the Lady of Pain. Is she tanar'ri-spawned, hiding out in Sigil from the vengeful powers of the Abyss? Is she a powerful human mage, the first to learn - and thus control - the secrets of the Spire and the Cage? Is she a hatchling from the eggs of a draconic deity? No one knows, but that doesn't stop berks from flapping their bone-boxes.
All that folks can agree on is this: The Lady's bladed head and enigmatic form strike fear into the hearts of all who spy her. Those who oppose her are spun off into the Mazes or flayed outright. She's the symbol of Sigil, and that's about all anyone needs to know.
'Course, she's more than the city's icon - she's its guardian as well, the one who controls the portals and keeps the place from falling into the hands of would-be conquerers. The gods are kept out; fact is, Sigil's one of the few places where freedom is determined by mortals and mortals alone. Many folks let the Guvners, Harmonium, and Mercykillers set the rules of that freedom, but the Lady doesn't seem to care.
See, the Lady can't be appeased or appealed to. She can't even be worshipped; any berk who praises her name is thrown into the Prison - if he's lucky enough to escape her dreaded gaze. The fact that folk go out of their way not to worship her sets her apart from most other near-powers (if that's what she truly is).
Hard truth is, no one knows what the Lady is or what she's up to, and chances are no one ever will. She remains a mystery, and it's no dark that sods who dig too deeply for answers wind up in the Mazes (or worse). Best to let it lie.