Bluebeard, the folktale rumored to be inspired by the
[possible spoiler, but easily researched from folklore about Bluebeard]
13th century serial killer Gilles de Rais or other famous murderers from Brittany/Brenton in France.
As wikipedia tells us, de Rais murdered children in a similar way to what we saw here:
[The boy] was pampered and dressed in better clothes than he had ever known. The evening began with a large meal and heavy drinking, particularly hippocras, which acted as a stimulant. The boy was then taken to an upper room to which only Gilles and his immediate circle were admitted. There he was confronted with the true nature of his situation. The shock thus produced on the boy was an initial source of pleasure for Gilles.[close potential spoilers]
Pretty much exactly what we saw.
He was also (allegedly) big into demon summoning and alchemy, using the kids for components or offerings, so that explain the Cthulu intonations.
That particular individual was hanged and burned, so I'm guessing that is who he is. Calling himself Bluebeard was a huge hint, though the greater mystery is why he knew the name. Rider was reading up on history and cartography to catch up. How did Caster know this already?
edit: David beat me to it.
edit 2: So that really only leaves Berserker and Lancer for the Servant identities we don't know. Quite the change from the 5th Grail War, where everything was kept so secret.