The Ainur, or Holy Ones, were primordial spirits and the mightiest beings created by Eru long before the beginning of Middle Earth in the Lord of the Rings Universe.
Fourteen of the Ainur were the powerful Valar who were primordial guides. The fifteenth, Melkor (predominantly known as Morgoth), strayed from the righteous path and became the first Dark Lord. The many lesser Ainur are known as Maiar. Sauron, the second Dark Lord, was a Maia and so was Gandalf the wizard.
Those Ainur who entered the World and chose to live in it at its beginning remain bound to it until its end. They have much knowledge of the World, but are not themselves omniscient.
The First Age began with the awakening of Men and ended with the overthrow of Morgoth.
The Second Age was the time-period that began after the climactic banishment of Morgoth into the Void by the Lords of the West (the Valar).
The Third Age was from the first defeat of Sauron by the forces of the Last Alliance of Men and Elves, to the departure of the Fellowship of the Ring to the Undying Lands after Sauron's final downfall during the War of the Ring.
The Istari were a group of Maiar sent to Middle-earth by the Valar in the Second and Third Ages. They were embodied as elderly Men and entrusted to aid the Free Peoples against the threat of Sauron's conquest by lending them their wisdom and counsel. These were Saruman the White, Gandalf the Grey, Radagast the Brown, and Alatar and Pallando, the Blue Wizards.
The Fourth Age was a time of peace that followed the War of the Ring, also known as the "Age of Men".