It would be better, wiser, to avoid such a person entirely. Becoming friends with such a person would be the same as condoning his or her behavior. If for some reason you have to interact with the bully, as for instance in a work situation, or if you're in a school or sports group, keep your distance as much as possible and just be civil or sportsman-like and no more. And also, a good piece of advice would be to find the biggest, strongest, person who is not a bully and strike up a friendship with him or her. Like in that movie where the scrawny geek becomes friends with the brawny guy who acts as his body guard.