Trademark heroic pose- from the back cover of Excalibur #5
Captain Britain was actually Brian Braddock, a wealthy British scientist who had been chosen to be a mythical hero when his country needed him. He did not want the title, but took it out of a feeling of duty. I'm not exactly familiar with most of his exploits before Excalibur, but I do know how he met Meggan, his fiancee, and how he came to live in the lighthouse.
Capt. Britain is a very complicated man. He is extremely intelligent and tries very hard to do the right thing, but is not exactly clever and often makes poor judgements. He used to be a very heavy drinker, bordering on an alcoholic, but intervention on the part of Meggan and his teammates made him resolve to quit. He loves Meggan deeply, although he was seeing his old girlfriend Courtney Ross off and on at the beginning of the series. This cut Meggan very deeply and was causing a lot of friction in the group.
The Captain's first instinct in handling any kinds of threat is to use his fists. This isn't always wise on his part, although he is not much of a communicator and when he does try to keep the peace nonviolently he often gets beat up.
Brian's sister is Betsy Braddock, aka Psylocke of the X-Men. When Excalibur were formed, the X-Men had just recently appeared to die, and Betsy had gone with them. Brian was going through a period of mourning and was drinking heavily at this point, but time spent with the group helped him immensely. He still keeps in contact with Betsy off and on, and their relationship is a good one.
He also has an older brother named Jamie, who used to bully him and Betsy. Jamie was involved in slave trade and illegal profiteering, and was kidnapped by Doc Crocodile who experimented on him as revenge. Brian knew about this, but decided that his brother had been far more evil than the Doctor and left Jamie there. Jamie later went insane, and gained strange powers to manipulate reality. When he next met up with Excalibur he defeated them easily, killed one of their friends, and nearly killed the rest of them as well.
It eventually turned out that Captain Britain had a jinx on him which was giving him bad luck. He could not maintain his powers outside of Britain without his costume; this problem was fixed by Roma, but later resurfaced in a different way. Roma did lift the jinx that was on him, and after that the Captain decided he was not fit to be leading the team and gave the duty to Nightcrawler. Meanwhile, Brian asked Meggan to marry him. At the end of Davis's run, they were still engaged and marriage, after their long and mostly stable relationship, seemed very likely to be a reality.