"Gandalf is not, of course, a human being (Man or Hobbit). There are naturally no precise modern terms to say what he was. I would venture to say that he was an incarnate 'angel'... with the other Istari, wizards, (those who know), an emissary from the Lords of the West, sent to Middle-Earth as the great crisis of Sauron loomed on the horizon. By 'incarnate' I meant they were embodied in physical bodies capable of pain and weariness... "
"Why they should take such a form is bound up with the mythology of the 'angelic' Powers of the world of this fable. At this point in the fabulous history the purpose was precisely to limit and hinder their exhibition of 'power' on the physical plane, so that they would do what they were primarily sent for: train, advise, instruct, arouse the hearts and minds of those threatened by Sauron... "
The Letters of J. R. R Tolkien, Humphrey Carpenter, editor (page 202)
"Gandalf really 'died' and was changed... 'I am Gandalf the White, who has returned from death'."
(The Letters, page 201)