Macbeth begins the play loyal to the king. He is, in fact, a true hero--one of the best soldiers in battle--and is rewarded by the king for his efforts. Even when he first hears of the possibility of becoming king, he hesitates to act against Duncan, remembering that Duncan has favored him (making him Thane of Cawdor), and thinks that he might become king by "chance." His ambivalence here suggests that the two sides of his character are at war. When he tells his wife that he doesn't want to harm Duncan, she pressures him, questioning his manhood and his faithfulness to her. He weakens and agrees to kill Duncan, but is seriously affected by the act--he says he is so guilty that his hands will never be clean again. By the end of the play, however, he has changed. He orders Banquo (his friend) killed, along with his son, and he also orders MacDuff's family to be slaughtered. He seems unable to stop the killing, saying he is steeped in blood so far that it would be more difficult to go back than forward. Once brave, he is now fearful. With that fear, he begins to put his trust in the Wyrd sisters instead of in himself, his wife and his honour. He is a tragic hero; his hubris (pride)and his misplaced trust make him vulnerable. He has no honour left--he has destroyed his honour to gain and maintain the throne. The brave warrior ends as a tragic, weak, vulnerable shell of a man who is consumed by his own desire to have that which was never rightly his.
Check the link to the enotes character analysis for more info, but in short -
Macbeth begins the play as a hero. He is the commanding officer of Duncan's army who have just defeated invaders and is triumphantly returning home. His bravery and loyalty is talked about by all Scots, and he is rewarded by title from Duncan himself.
At the end, Macbeth is corrupted by greed for power. He has a guilty conscience and has (obviously) lost all favor from the Scots. He has an overbearing sense of power from the witches prophecies and might believe he is immortal - hence his disbelief at Macduff wanting to kill him.