A human who could be considered to be a little more than human, Sai has the ability to alter his own cellular structure. He can change his appearance into any human form available, which also makes him indestructible.
His true name is Kaibutsu Goutou X.I, with the X standing for anonymity and the I for invisible. Abbreviated, he is called "Kaitou X" meaning Phantom Thief X. The X is pronounced as "Sai" in both the anime and the manga, which is why he is more commonly known as Sai.
This is the second image I've come accross with "Kyo is Theology" at the bottom of the image. I think it may well be the same cosplayer as Superbia Squalo. What do you guys think?
EDIT: Thanks to anon for linking me to Unlimystic's Deviant Art!