Yes
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hellboy is not real
Liz and Cena are no longer together
I've only read the Hellboy comics and according to them, yes, Hellboy is a good guy. He's generally fighting something paranormal or otherwise unnatural and he investigates stuff like that too.
Here is the answer, from the director Guillermo del Toro: http://www.cinematical.com/2006/09/08/no-agent-myers-in-hellboy-sequel/
It's rated M.