Zaleskar is one of the first Undead that you meet in the game, you will find him right outside the drawbridge to Fort Joy. He sells very strong (for early game) equipment and spells, this of course means he is quite pricey and you will most likely only be able to afford one of his items at this point in the game, maybe two if you have saved gold.
He is involved in Ben's personal quest, Ulterior Motive.
You can question him about the Undead race, but he won't give you much information. He is, nonetheless, an interesting character that will probably be seen again later on.