The Ainur were the first beings of the World, spawned from the very thought of Eru, and were of a higher level of understanding than all in Middle-Earth. There were various levels of Ainur, ranging from powerful spiritual beings who would later preside over Arda to lesser, albeit authoritative, creatures such as the Balrogs or the Istari, known more commonly as Maiar.
In the beginning, Eru forged a great music, which would be the theme to create Arda, and many of the Ainur joined in to this music, creating an ever more beautiful theme. Of the few hesitant, Melkor was one, but as the most powerful of the Ainur, he was in want of creating things anew, and so he contested with Eru by creating a different, opposing theme, to which some of the other Ainur rallied and sung to. The discord between them is distinct, but Melkor's tunes are woven swiftly into the fabric of Eru's original theme. Twice more this happened, Eru creating a new theme and Melkor infecting it with his harsher notes and tune. Eru, angered at Melkor, halted the tunes, and Melkor was ashamed; this shame would fester and grow, and turn into a relentless anger and hate.
Eru then brought into the Ainur's sight a new land, a World, named Eä, and within it Arda. The Ainur were given a choice: reside with Eru in the Heavens, or descend into the world below, and those greater Ainur who came to Arda were thereafter known as the Valar. The Valar who descended were:
Melkor - The fallen Vala Melkor was the most powerful overall creature in Arda, hell-bent on its ruination.
Manwë - Of all Eru's loyal followers, mightiest was Manwë, commander of wind and air, the Lord of Arda.
Varda - The Queen of the Stars was a very perceiving mind, and provided light in the darkest days of Arda.
Ulmo - The Lord of Water, Ulmo, was the mighty power of the ocean, one which even Melkor feared.
Aulë - The Smithing Lord Aulë was the creator of the Dwarves of Middle-Earth, and a loyal follower of Eru.
Yavanna - The Queen of the Earth was mistress of all things that grew from seed, trees and Ents and fruit alike.
Mandos - The Keeper of the Dead, Mandos was stern and unforgiving, and only on very rare occasion kind.
Oromë - Also known as the Huntsman of the Valar, Oromë was a very formidable foe against which few stand.
Tulkas - The most warlike of the Valar, Tulkas could put fear into even Melkor's pitiful excuse for a heart.