Dawn is first introduced in the end of the first episode of season 5. She was never shown in the previous seasons, all along we thought Buffy was an only child. Dawn always feels out of place because her sister is the slayer and is so mature with so many duties, while Dawn is treated by a child by everyone. 
   Dawn's real identity is the key to the world, meaning if she got into the wrong hands she could destroy the world. She used to be green, swirling pure energy guarded by monks. After a dark force was trying to get her, the monks turned the energy into a human, Dawn. So the slayer would protect her, they made her Buffy's sister. The main demon is Glory, a powerful Hellmouth god who wants to find the key so all the demensions could pour together, ending the world.