Well, after the Squatter's brillant post which covers everything, there's really nothing left to say.
Just a note to
Beanamir of Gondor about Gandalf being a "trandescental being" .
While reading LotR for the first time one doesn't know about Eru and the Valar, of course. There are just hints every now and then that there is some power behind it all, like
MatthewM said.
And Gandalf the White does say "Naked I was sent back - for a brief time, until my task is done."
Most information about this is found in "Unfinished tales" in "The Istari" and "The Quest of Erebor".