John 3:22
NKJV - 22 After these things Jesus and His disciples came into the land of Judea, and there He remained with them and baptized.
For follow-up discussion and general commentary on the topic. Comments are sorted chronologically.
The baptism of Jesus by John was a Jewish baptism to fulfill all righteousness that all may become righteous before God. The baptism of Jesus by the Holy Spirit is the baptism all believers received at Pentecost. Both the Holy Spirit and the Spirit of Christ were poured out at Pentecost. As an aside I believe that Jesus did not have to come to save us. God could have saved us but we would have been nothing but a bunch of sinners. Because of God's mercy He sent His Light to save our souls.