[Potatothan]

I think the staff was made in Lorien, since it was white just like Gandalf's cloth. The staff would fit nicely in the theory that the Istari, not allowed to show their real strength, used their staff in combat as a weapon trough which they used their powers. It would be very odd if an old man would knock down an orc with his hands, but if he would knock him down with a staff, no one would notice. Just a way to use their power in combat without breaking the law of Manwe.

And it's definetly true that Gandalf just lost his physical form when he died in combat with the Balrog. He said: And every day was as long as a lifeage of the earth. That should indicate Valinor if you ask me. And when Gandalf/Mithrandir/whatever name you prefer returned and took physical form on Zirak-Zigil, his Narya and Glamdrin where left there unattended. Because hey, the endless stairs were lost for endless days.

-P