Adding to @Dov's answer, Yosef the Shed was a shed who would assist the sages by giving them info on shedim, as Sforno writes on Vayikra 17:7:
"חקת עולם תהיה זאת שלא יזבחו לשעירים אף על פי שלא היו מקבלים אותם לאלוה בשום פנים אבל היו חפצים בחברתם להיות השדים להם משרתים ומסייעים בעסקיהם או שליחותם אל ארץ רחוקה כמו שהזכירו (חולין פרק כל הבשר) על יוסף שידא ועל שידא דהוה שכיח בי רב אשי..."
Translation: "This shall be to them a law for all time that they may offer their sacrifices no more to the goat-demons, even if they don't accept them upon them as a god in way whatsoever, but were interested in their company for the demons to be servants to them and assisting them in their businesses or their ventures to far-off lands, as they mentioned (Chulin ch. Kol Habasar) about Yosef Sheida and the sheida that was often at the house of Rav Ashi..."
In this ParshaBlog post, Rabbi Waxman explains why he thinks that Yosef was a shed and not a human expert on shedim:
In my earlier post I considered the possibility that Yosef Sheda was a human expert on demons. I would now say that I regard this as unlikely, based on the wording in Pesachim:
אמר רב פפא אמר לי יוסף שידא בתרי קטלינן בארבעה לא קטלינן בארבעה מזקינן בתרי בין בשוגג בין במזיד בארבעה במזיד אין בשוגג לא
Or in English:
Rav Papa: Yosef the Shed told me that Shedim kill on account of two (e.g. cups); they damage on account of four, but they do not kill; 1. They strike on account of two whether it was Shogeg or Mezid; they damage on account of four only if it was Mezid.
From the wording of קטלינן, and מזקינן, "we kill" and "we damage", it rather seems that Yosef Sheda himself is a sheid.
As to what sort of demon Yosef the Shed was exactly, based on this answer, it seems he was a kind of "Jewish demon", who would study Torah, and for this it seems that he was friendly with the sages (and maybe that also got him a Jewish name, rather than something like "Ashmadai").
Rabbi Asad, however, wrote in Yehudah Ya'aleh Orach Chaim 199:
"הנה התם פירש"י דלא מינטר שבתא ומ"כ צריך לפרש כן. א"כ התם לא הישראל נקרא שד אלא איפכא אותו השד שאמר הכי שב שמעתא קמיה דר"ח וקמיה דרבא קראו אותו חכמי התלמוד בשם יוסף אולי משום שלא רצו להזכיר שם שד מזיק בלבד ע"ד ותבחר לשון ערומים תוסיפו לו שם קדש. אבל ביבמות דף קכ"ב ע"א איתא לר"ח א"ל יונתן שידא כו'...אי נמי הכי הוי השד שלימד כן לר"ח קראו אותו גם בשם קדש יונתן ג"כ..."
Translation: "There Rashi explained that he didn't keep Shabbat and why did he need to explain this so. Therefore, there it isn't that the Jew was called a demon but the opposite, that demon who would say those things before R"Ch and before Rava, the sages of the Talmud called him by the name Yosef, perhaps because they didn't want to mention only the name of the destroying demon, per "So you choose crafty language" they added to him a holy name. But in Yevamot 122a came to R"Ch and said Yonatan Sheida etc...so too here, the demon who taught so to R"Ch was called by the holy name Yonatan as well..."
So according to Rabbi Asad, Yosef and Yonatan (and other such shedim, if there were/are) had demonic names but were given by the sages new names so that the sages wouldn't need to use their demonic names.1
As I mentioned previously, Yosef Sheda was mentioned on (at least) one Jewish incantation bowl by the name of 'Rav Yosef Sheda' (רב יוסף שדא), probably dated to ca. the 6th-7th centuries (around the time of the Savoraim). The bowl in question is numbered JBA 26, and features the line "ותיהוי בשמתא דרב יוסף שדא..." - "and may you be under the ban of Rav Yosef Sheda". See Shaked, Naveh and Bhayro's Aramaic Bowl Spells vol. 1, p. 153.
Tal Ilan in her essay 'Rav Joseph the Demon in the Rabbinic Academy in Babylonia: Another Connection between the Babylonian Talmud and the Magic Bowls', in: Festschrift for Günter Stemberger on the Occasion of his 75th Birthday, pp. 381-394 pointed out that he was mentioned together with another potentially shed-figure, 'Rav Agzar bar Dibshata' (רב אגזר בר דיבשאתא), as well as 'Ram Shed, king of the shedim' (רם שד מלכא דשדי, possibly an epithet for Ashmedai) and suggested all three were "reformed shedim" who comprised a court of three necessary to cast out a ban (שמתא) upon dark forces (the main purpose of these incantation bowls). Her conclusion is that these three reflect a rabbinic domestication of shedim. I recommend reading the entire essay.
Just as an interesting FYI, Yosef the Shed appears as a character in the Orthodox Israeli comic book "L'azazel Im Baba" by Shay Charka2. Here's one image:
1 Afterwards, however, Rabbi Asad expounds a little bit on the view that these were men and not demons.
2 Disclaimer: I'm not affiliated with him in any sort of way, other than the fact that I love his work...