Appa is a large sky bison from the Southern Air Temple.
For most of the story he was mainly used as transportation by Team Avatar and not getting any big scenes except for a few.
Book 1: water
Appa first appears at the South Pole when he gets in a confrontation with Naga. Their fight went on until Korra called for Naga and things calmed down. He sees Weed and Aang and walks over to them, giving them their memory back of their time together. He happily agrees to let the others come before they flew off.
Book 2: Earth
Appa for the most part was a side character in the earth arc. His only main scene was when the group came across the spirit library. When much of the group hot there Appa was sensing a bad presence and soon forces them in to save their skin.
Book 3: Fire
Appa's only appearance was in a flashback described by Tom. When they arrived in the Eastern Air Temple, Appa got killed during a Fire Nation attack. no:Appa