Yeah, Gwyndolin's story is probably one of the most overall depressing.
He was born small and probably frail compared to his nightly father and brother, along with being of questionable gender balances (well, if his model having breasts is canon). He was always overshadowed by his elder siblings and himself claims to be hideous.
The snakes give me the sense that Seathe experimented on him in some way, probably another attempt at immortality.
He alone remained in Anor London once all else had abbandon it, even Ornstein left his post eventually.
He found and adopted Yorshka somewhere, but then comes Sulyvahn, who enslaves the city and locks the away from each other to await Aldrich's unquenchable hunger.
Him being the moon is a perfect representation of his story: a smaller, often forgotten child who will never live up to the majesty of the sun, no matter how hard he tries.
Do keep in mind that, despite this weakness, Gwyndolin was the one to actually succeed Gwyn as Lord of the Gods (At least according to the direct Japanese translation, so it's arguable whether you consider it true or not). So technically he's the success story, seeing as his siblings are:
A: a lazy lizard hermit
B: 18 "different" fertility goddesses
C: Literally asleep at the opposite end of reality.
Of course, this success led to him getting eaten by a giant slime dude and digested for a thousands years, but hey, like father, somewhat vaguely like son.
He might have had Smough to keep him company depending on how you read it.
For all his flaws (of which he had many) Smough proved to be the most loyal of all of Gwyn's servants. His own daughter ran away almost immediately, but Smough stayed. Ornstein, the leader of the Four Knights, eventually decided that staying accomplished nothing, and that he'd rather choose his loyalty to the Firstborn over his service to Gwyn. And yet Smough stayed. Eventually, the Silver Knights hollowed, and Anor Londo became known as Irithyl, as the city (somehow) sunk into a valley, and it's origins began to be forgotten.
Yet Smough still did not abandon his post. Not even when everyone else had betrayed his Lord, and Aldrich had come to devour Gwyndolin, the only one who tried to bar the way was Smough.
He may have been a shitbag of a person, but god damn was he dedicated.
