One thing that some people end up asking themselves when the read or watch The Lord of The Rings for the first time is "what makes this Sauron guy such a big deal?" or "so what exactly is this Gandalf character?" The answer to that is that they are Ainur, which could basically be considered Angels created by Eru Iluvatar. They sung the world into existence and shaped it afterwards, for good or bad. Some of them went into the world and were bound to it, these are the Maiar.
The strongest and most powerful Ainur to come to Arda and depending on how you look at them are either archangels or gods with a lower case g.