Barium-filled skutterudites BaCoSb with an anomalously large filling fraction of up to y=0.44 have been synthesized. The lattice parameters increase linearly with Ba content. Magnetic susceptibility data show that BaCoSb is paramagnetic, which implies that some of the Co atoms in BaCoSb have acquired a magnetic moment. The presence of the two different valence states of Co (Co3+ and Co2+) leads to the anomalously large barium filling fraction even without extra charge compensation. All samples show n-type conduction. The electrical conductivity increases with increasing the Ba filling fraction. The lattice thermal conductivity of BaCoSb is significantly depressed as compared to unfilled CoSb. The dimensionless thermoelectric figure of merit, ZT, increases with increasing temperature reaching a maximum value of 1.1 for BaCoSb at 850 K.