In the history of Middle Earth there were two Glorfindels, which in Sindarin (elven) means Golden Hair. The first was Eldarin lord of Gondolin, one of the captains of Turgon. He commanded the elvish left flank during the retreat of Gondolindrim (during the Nirnaeth Arnoediad). When Gondolin, the leader of the elvish army, was slain, Glorfindel helped the survivors escape, including Tuor and Idril (two elves who led the group and who dwelt together in Middle Earth). But when the company was ambushed Glorfindel fought the Balrog who led the enemy forces. They both fell to their deaths at Cirith Thoronath.
The second Glorfindel appears in Tolkein's The Fellowship of the Ring (First book from The Lord Of The Rings, and is better known that the first, thugh not much more is know of him). He was Eldarin lord of great power, most likley of the house of Finarfin.He led the elvish force that helped to rout Angmar in the battle of Fornost, this was during the First Age. During The War of the Ring Glorfindel was the second most important elf in Rivendell, after Elrond. He also met and protected Frodo once he had been wounded by the King of the Nazgul. He fought off the Nazgul at the Ford of Bruinen at Rivendell.
There is a discussion of weather the two Glorfindels were actually the same one, and that the first did not die when he fell with the Balrog, weather this is so or not, I guess we won't ever find out.
The second Glorfindel was unfortunatley left out of the film to be replaced by Liv Tyler (Arwen Evenstar), oh dear.