The Golden Lord of Darkness, the Mother of Everything, these are only several of the names used to describe 'her'. Of course, the female designation is arbitrary, the Lord of Nightmares has no gender, in truth, not even a form because she is the Sea of Chaos and the Sea of Chaos is her. It could be said that she is the 'mind' or 'will' of it but that is only trying to pin it down for our limited comprehension.
The Lord of Nightmares is an entity much like the Gods and Demons of the various world due to having no real form or gender. Just as they have a human form and a beast form based on what they wish to appear as, she too has two forms. Her human form is that of a frail blonde young woman, however she has possessed Lina's body and even appeared in a copy of her form. Rather than a beast form, the Lord of Nightmares is actually the infinite Sea of Chaos that exists below the the countless parallel worlds which sit atop it on staves. Despite being above the Lord of Nightmares, in actuality a small part of the LON exists in each one, and while she can't use her full power in any of the universes, what she can do is still more than enough to make the Gods and Dark Lords alike fear her as nothing can ever be superior to her.
There are only two known spells that call upon the Lord of Nightmares. Ragna Blade which creates a blade of chaos that can cut through anything, and Giga Slave which functions much like Dragon Slave, except it summons the LON itself into the user's body rather than just it's power. If miscast Giga Slave can cause the LON to takeover the caster's body and/or destroy the universe.
The LON shares the same goal as the Dark Lords to return all worlds to the Sea of Chaos, however because her nature is chaos she is inconsistent. Rather than destroy the worlds herself she is self contradictory, seemingly waiting for the Dark Lords to do it for her. Or if the opinions of Vorfeed and Darkstar are correct, the God and Demon races simply exist to amuse her with their eternal war for supremacy.
LON is also prone to conversing with and beating up the author and Subordinate S (Dark Lord Shabranidgu) with shovels when not being so serious.