[dancing spawn of ungoliant]

Hmm...This is just my opinion but here it goes.

I think that those maiar who were chosen to go to M-E were incarnated also they were human-like (or elf-like: long age and so forth). Gandalf really died after the fight with that balrog but his spirit was sent back. I don't know if I'm now mixing the books and the movie but if I recall right, Gandalf was glowing white light every now and then...after all, he returned as Gandalf the White! It is said concerning the ainur that without a physical form they were like a flame or something (you'll probably get my point). I think this light shone through Gandalf and according to my theory, he wasn't the same old man than before but he was in a more noble form. So I think that it would have been impossible to kill him twice. If he had got badly wounded, his inner flame /fire (or what ever) would have healed him.