He is described as being goat-legged and goat-horned. Some myths state that when he was born, he was so ugly that his muse dropped him and ran away screaming. Pan is also credited with inventing "panic" and the shepherd pipes. Here are the stories:
Panic. One day while Pan was sleeping in a cave, he heard a group of people walking by loudly. This annoyed him so much, that Pan let out a bloodcurdling scream that extremely frightened the travelers. Pan called this Panic.
Shepherds pipes, or syrinx. Pan had fallen in love with a tree nymph named Syrinx (a daughter of a river god as well). Syrinx unfortunately did not love Pan back. In fact, Syrinx despised him. Pan would often chase her everywhere. Finally, Syrinx couldn't stand it any longer. She was standing besides her father's river one day when Pan came after her. Syrinx cried out to her father, who then turned her into a patch of reeds. Pan was saddened by this loss, so he cut some of the reeds and made a pipe out of them. That is why that pipe is also known as a Syrinx.
'Homeric Hymn 19 to Pan (trans. Evelyn-White) (Greek epic C7th - 4th B.C.)'
"Hermes . . . came to Arkadia (Arcadia), the land of many springs and mother of flocks, there where his sacred place is as god of Kyllene (Cyllene). For there, though a god, he used to tend curly-fleeced sheep in the service of a mortal man, because there fell on him and waxed a strong melting desire to wed the rich-tressed daughter of Dryopos, and there he brought about the merry marriage. And in the house she bare Hermes a dear son who from his birth was marvellouse to look upon, with goat's feet and two horns--a noisy, merry-laughing child. But when the nurse saw his uncouth face and full beard, she was afraid and sprang up and fled and left the child. Then luck-bringing Hermes received him and took him in his arms: very glad in his heart was the god. And he went quickly to the abodes of the deathless gods, carrying his son wrapped in warm skins of mountain hares, and set him down beside Zeus and showed him to the rest of the gods. Then all the immortals were glad in heart and Bakkheios (Bacchic) Dionysos in especial; and they called the boy Pan [i.e. derived from the word pantes meaning ‘all’] because he delighted all their hearts."
'Pseudo-Apollodorus, Bibliotheca 1. 22 (trans. Aldrich) (Greek mythographer C2nd A.D.)'
"Apollon, learnt the mantic art from Pan, son of Zeus and Thymbris."