The Sasquatch is a massive beast, long sealed away in a mysterious cave. He only appears in Stage 8, the Icewind Pass, where he is shown frozen in ice. Whether the player should free him or not is debatable...
"The legendary sasquatch will help you for an offering in food, gold, and sometimes women."
To free this legendary monster, Rain of Fire must first be used on the cave to break the ice. Only then can the Sasquatch be purchased.
Unfortunately, the Sasquatch usually is not considered a good investment. He costs 500 gold to purchase, only attacks one unit at a time, and if he dies, he has to be repurchased. It is not recommended to summon him unless you have a formidable defense and extra gold as a few Yetis will kill him.