Gandalf the Grey

Gandalf was a member of the White Council -- along with Saruman, Radagast and the two Blue Wizards, one of the Istari. He was called Tharkûn by the Dwarves, Incánus in the South, Olórin in the West(Valinor), and Mithrandir by the Elves.

He came to Middle Earth -- along with the rest of the Istari, and just like the others he too
took the form of a wise old man to aid the Free People in their fight against Evil.

Gandalf helped win the War of the Rings. During that war his spirit left his body after having fought a Balrog in Moria, but he returned to continue his fight against Sauron's and Saruman's forces of Evil.

Gandalf carried one of the three Elven Rings, Narya, Ring of Fire, which was given to him by Círdan the Shipwright upon his arrival in the Grey Havens. Círdan realized that it would aid Gandalf in his battle against Evil.

In Valinor Gandalf (or Olórin as he was called there) spent a great deal of time with Nienna, and from her he learnt a lot about compassion and patience.

Gandalf was born approximately 12000 (maybe even more) years before The Lord of The Rings takes place. He was a Maia (which are basically "Angels" created by Illuvatar), as was the Balrog he faught in Moria, as was Sauron.
While Gandalf was not as powerful as Sauron, he certainly possessed a far greater power than he ever dared show in Middle Earth.

After the War of the Ring Gandalf returned to Valinor (together with Frodo, Bilbo, Elrond, Galadriel), it is unknown what happened afterwards.