This mysterious and strange set of affairs is perhaps most clearly set out in the 'Athanasian Creed' - the one that you have probably never heard of. Most Western Christians accept this 'third' creed as an accurate statement of their beliefs, even if they do not use it regularly in worship, preferring the Apostle's Creed and the Nicene Creed. If you go to the Wikipedia page and read it you will probably understand why. In its repetitive and multiply-redundant phraseology it tells us about the three persons of God - and if we have been brought up in a Christian culture it is very likely that we won't give much thought to the following question.
Who is 'the person' of the Holy Spirit?
Obviously we can understand the concept of Jesus as a person, even if we happen to have a view that he might have been a mythical person. God, the father, is a little harder to envisage as the second person, in that he has no earthly form, except in a few Old Testament stories.
But the person of the Holy Spirit is something that is so familiar that we never question it - and yet so alien that we can't imagine it either.
Do you find that as paradoxical as me?