The Crestfallen Warrior sits near the bonfire in Firelink Shrine. He might have been once a Chosen Undead himself, but has become discouraged and now he simply sits at Firelink Shrine.
He has no faith in the Chosen Undead revealing the fate of the Undead any more than he was able to. He reveals that there are two Bells of Awakening, and that "one's up above, in the Undead Church and the other far, far below, in the ruins at the base of Blighttown.
Not much is known about him but he does provide the player with interesting bits of information about characters that come and go in the Firelink Shrine as well as several locations. Occasionally, he'll give gameplay advice.