[Legolas]

The Blue Wizards. They went east with Saruman upon arriving to Middle-earth. Only Saruman returned. Tolkien gave speculation at least two different times on what may have happened to them. Since he didn't leave a definitive story, the fate of these two is the source of much imaginative speculation and sometimes fan fiction stories.

I wrote an article about this a while back. The other Wizards:

They're given the names Alatar and Pallando in Unfinished Tales, though it's possible that these weren't names, but titles, given due to their lack of names. Because they spent no time in the northwest of Middle-earth, they are not given names there like Gandalf had been given. Together they are referred to as Ithryn Luin, meaning "blue wizards" because they were clad in sea-blue robes.

About Pallando's 'name,' Christopher Tolkien gives us this footnote in Unfinished Tales:

Pallando, despite the spelling, perhaps contains palan "afar", as in palantir and in Pallaran "Far Wanderer," the name of Aldarion's ship.

In The Peoples of Middle-earth, Christopher Tolkien informs us of another note Tolkien made on the blue wizards, this time naming them "Morinehtar and Romestamo." Tolkien gives both of these names meanings: "Darkness-slayer and East-helper."

At Manwë's request for emissaries at a council, Alatar, a Maia of Oromë, was the second (after Curumo) and last to volunteer for the job. Alatar requested that he be able to bring along a friend, Pallando, who was also a Maia of Oromë. Upon the wizards' arrival to Middle-earth, they journeyed with Saruman into the east regions of Middle-earth (of which we know almost nothing). After a thousand years, Saruman returned alone. Tolkien was unsure of what happened to them. His thoughts on the matter are given in Unfinished Tales in a footnote to the 'Istari' chapter:

I think they went as emissaries to distant regions, East and South, far out of Numenorean range: missionaries to enemy-occupied lands, as it were. What success they had I do not know; but I fear that they failed, as Saruman did, though doubtless in different ways; and I suspect they were founders or beginners of secret cults and 'magic' traditions that outlasted the fall of Sauron.

Other notes by Tolkien, apparently an earlier conception of the blue wizards, are presented in The Peoples of Middle-earth (as mentioned above). The notes were fairly difficult to make out - the text in brackets is Christopher trying to make out his father's handwriting. Here they are:

The other two are only known to (have) exist(ed) [sic] by Saruman, Gandalf, and Radagast, and Saruman in his wrath mentioning five was letting out a piece of private information.

The 'other two' came much earlier, at the same time probably as Glorfindel, when matters became very dangerous in the Second Age. Glorfindel was sent to aid Elrond and was (though not yet said) pre-eminent in the war in Eriador. But the other two Istari were sent for a different purpose. Morinehtar and Romestamo. Darkness-slayer and East-helper. Their task was to circumvent Sauron: to bring help to the few tribes of Men that had rebelled from Melkor-worship, to stir up rebellion ... and after his first fall to search out his hiding (in which they failed) and to cause [? dissension and disarray] among the dark East ... They must have had very great influence on the history of the Second Age and Third Age in weakening and disarraying the forces of East ... who would both in the Second Age and Third Age otherwise have ... outnumbered the West.

These ideas from HoME XII were abandoned, apparently, as we see Tolkien state that "Indeed, of all the Istari, one only remained faithful." This 'one' being Gandalf, obviously, meaning Alatar/Pallando weren't successful in whatever they did out there.