Woland is the mysterious "foreigner" and "professor" whose visit to Moscow sets the plot (among other things) rolling. His appearance and nationality are unclear. Eventually he accepts Bezdomny's conjecture that he may be German, which would connect him with the Faust theme.
Woland's name itself is a variant of the name of a demon who appears in Goethe's Faust: the knight Voland or Faland. (In German, "Junker Voland kommt." Bulgakov's Russian makes it clear that it is pronounced with a "v" and spelled with a "W" [double-v] as it would be in German.
As with other characters, we do not learn his name when we first meet Woland; and as with other characters, he is seldom called by his name. His band refer to him as "messire," a French honorific title meaning "sire" or "master" and given to priests, advocates, etc.