There's a whole bunch of companions that you can choose to take with you on your journey across the Forgotten Realms in Baldur's Gate 3, all of which span a whole gamut of classes, races, and subclasses.
Wyll is one of those companions, a Warlock. His magical abilities can be the difference between life and death when it comes to combat in Baldur's Gate 3, so it's always worth picking him up, especially if you don't have a magical companion yet.
You'll find Wyll not long after the tutorial ends. You're heavily directed to make your way to a Druid Encampment that is being besieged by Goblins. Take out the Goblins and save the people trying to get into the encampment and you'll be able to go inside the camp, where you'll find Wyll. He's on the left just as you go inside, and is just waiting for you to start a conversation with him where he'll be waiting to join your party.
Wyll will also give you a quest that will lead directly to the discovery of another party member, so he's worth picking up as early as possible if you really want to build out your party into being something with balance and strength.