Bhairava (भैरव) is a name of the fearsome aspect of God Shiva. As Kala Bhairava he is shown carrying a head, that belongs to Brahma. He had cut off Brahma's fifth head, making him guilty of Brahmanicide, and as a result, he was forced to carry around the head for years until he had been absolved of the sin.
The origin of Bhairava is traced to the tale of Sati - wife of Shiva. Sati, the daughter of the king of Gods, Daksha, had chosen to marry Shiva, in spite of her father disapproving the alliance because of the perception of Shiva as an ascetic associated with animals and ghosts, living a frugal life. Once Daksha held a Yagna (a ritualistic sacrifice) and invited all the gods, but not Sati and Shiva. Sati came to the Yagna alone, where Daksha publicly spoke belittlingly about Shiva. Sati could not bear this insult of her husband and offered herself to the sacrificial pyre. When Shiva learnt of this, he destroyed the yagna and killed Daksha by beheading