John 3:8 — The wind bloweth where it listeth, and thou hearest the sound thereof, but canst not tell whence it cometh, and whither it goeth: so is every one that is born of the Spirit.

The Holy Spirit is, if not the most mysterious, certainly the least known and understood of the three persons of the Godhead. Consider this text (which talks of the Spirit’s work in the process of regeneration — or rebirth — of the believer). The Spirit is independent, irresistible and inexplicable.
On the other hand, the Holy Spirit is our helper, our advocate. Jesus Himself declares this to be an office of the Holy Spirit (and the word He uses is only ever used of the Holy Spirit and of Jesus Himself). That word is sometimes translated as “Comforter” as well. Comforting is just one of the great things the Holy Spirit does for believers:

So, did the Holy Spirit somehow mysteriously come into being after Jesus’s crucifixion, when Jesus sent Him to the disciples at Pentecost? Not at all. Like the Father, and the Son, the Holy Spirit always has been and always will be. In fact it’s good to remember that the attributes of God are the attributes of God — if one person of the Godhead is all-seeing, all-knowing and all-powerful, so are they all.
The Spirit was present at the creation. “In the beginning God created the heaven and the earth. And the earth was without form, and void; and darkness was upon the face of the deep. And the Spirit of God moved upon the face of the waters.” The Spirit was present — “Ruach” the Hebrew word that, just like the equivalent Greek word “Pneuma, means “Spirit” or “Wind”.
The Holy Spirit empowered the leaders of Israel: “… the Spirit of the Lord came upon Gideon …” (Judges 6:34).
And so it goes … the Holy Spirit, the ‘masked marvel”, the hidden superhero of the Trinity. No obvious physical presence, but pervasive … always with us and alway accessible.
As with the Father, so with Son, and so with the Holy Spirit. There is so much that could be said, and any small piece by any one person can only scratch the surface. I hope, in a way, you are left feeling “but he left so much out”. If so, in a way, I have managed to meet one of the questions that was put into my mind. “How do we start expanding our understanding of God!?”. God is so much bigger than we will ever comprehend!