What does 'Captain douche baggy' mean?
For example "The captain douchebaggy is coming''
"Captain Douchebaggy" is a little bit odd, "Captain Douchebag" would be a more likely term I think and searching for "Captain Douche baggy" via Google brings up only this question, but there are many, many hits for "Captain Douchebag".
DrSmooth at UrbanDictionary explains all (in short)
An assclown that generally speaks as if they know what they are talking about however has no f***ing clue. Different than just the plain assclown by their pure consistancy has earned a rank of captain, yet are not quite the level of an admiral, which requires a lifelong dedication to being a douchebag.
Further explanation of the terms that make up Captain Douchebag:
A douche[i] is defined as
A jet of liquid applied to part of the body for cleansing or medicinal purposes:
A device for washing out the vagina as a contraceptive measure.
informal , chiefly North American An obnoxious or contemptible person, typically a man:
douchebag (or douche-bag)[ii]
A small syringe for douching the vagina, especially as a contraceptive measure.
North American informal An obnoxious or contemptible person, typically a man.
And Oxford Dictionaries also has a definition for douchbaggery.[iii]
North American informal Obnoxious or contemptible behaviour
So with douchebag defined why "Captain Douchebag"?
I'm inclined to believe that the "Captain" part comes directly from super-hero usage, like "Captain America" or "Captain Marvel". I can't find a definition in a "standard" dictionary for Captain that mentions its use in a humorous fashion meaning "the best, the pinnacle, the ultimate, the exemplar, the top dog...", most definitions are explicitly about being the Captain of something like a ship, plane, troop division etc. but OED1 has an obsolete adjective listed as
Chief, principal, leading, head-.
which fits perfectly because Captain Douchebag means The head douchebag, the douchebag who can out-douche all other douchebags.
One of the most recognisable "Captains" to British people is Captain Slow. This is the nickname given to Top Gear presenter James May, notorious for driving cars very slowly. On the Wikipedia page for James May it is noted he also has other nicknames based on "Captain" those being
"Captain Sense of Direction" (although he has none), "Captain OCD", "Captain Maths" and "Captain Idiot".
Other uses of "Captain something" can be found.
[i] "douche". Oxford Dictionaries. Oxford University Press. http://www.oxforddictionaries.com/definition/english/douche (accessed September 26, 2014).
[ii] "douchebag". Oxford Dictionaries. Oxford University Press. http://www.oxforddictionaries.com/definition/english/douchebag (accessed September 26, 2014).
[iii] "douchebaggery". Oxford Dictionaries. Oxford University Press. http://www.oxforddictionaries.com/definition/english/douchebaggery (accessed September 26, 2014).