Elmo is a kids TV show character. He was a prisoner at the Ronald Reagan Reeducation Center. He was wrongly imprisoned there because he went to the wrong fund raiser. Elmo couldn't take prison life there so eventually committed suicide and hung himself.
Ralph also once said that he was playing with Elmo, which was actually a rat. Maggie also has a tickle-me toy of Elmo that Moe and Maggie tickled too much so it slapped Moe.
When Ned walked in on Homer and his parents Ned, Sr. and Mona watching Sesame Street and smoking marijuana, Big Bird and Elmo were on the screen.
 Behind the Laughter
Elmo is a character from Sesame Street.