Ainur
The Ainur (singular Ainu), "the Holy Ones", were the first beings created by Eru Ilúvatar, spirits made from his thought before the making of the world. The greatest of them entered into Arda to shape and govern it, becoming the Valar and the Maiar.
Creation
The Ainur were the offspring of Eru's thought, each kindled from a part of his mind. To them Eru taught music, and at last propounded a great theme, from which arose the Music of the Ainur, the song that contained the design of the world. When Morgoth (then Melkor) sought to weave his own discordant music, Eru thrice took up the conflict into ever greater harmonies. After the Music, Eru showed the Ainur a vision of the world it had made, and many of them desired to enter into it.
The Valar and the Maiar
Those Ainur who descended into Arda to govern it were divided in degree. The greatest were the Valar, the Powers of the world, such as Manwë, Aulë, Varda, and Yavanna, who took up the great domains of the earth, sea, and sky. Of lesser might were the Maiar, spirits who served the Valar in many roles. Among the Maiar were Sauron (before his fall), the Balrogs, the Wizards, and Melian, queen of Doriath.
Nature
The Ainur were spirits and had no fixed bodily form, though those within Arda often took shapes like to the Children of Ilúvatar. They were powerful and long-enduring, bound to the world until its end if they entered it. Their proper purpose was to carry out the will of Eru and to prepare the world for the coming of the Elves and Men, the Children of Ilúvatar, whose making Eru had reserved to himself alone.