Who are the Istari?
In response to the trouble caused by Maia Mairon (Sauron), Vala Manwë (the King) formed the Heron Istarion (Order of Wizards) to deal with the problem.
Vala Aulë (the Smith) offered Maia Curumo (Saruman). Vala Oromë (the Hunter) offered Maia Alatar. Vala Manwë chose Maia Olórin (Gandalf). He was reluctant to go but yielded to the demand. Vala Yavanna (the Earth Mother) demanded her presence there, and sent Maia Aiwendil (Radagast) to accompany Maia Curumo. Maia Alatar requested Maia Pallando to accompany him.
Although not specifically stated, it can be inferred that the five Istari (Wizards, Members of the Order) had some ranking within the Order, indicated by their robes: Saruman the White; Gandalf the Grey; Radagast the Brown; Alatar and Pallando the Blue.
After Saruman aligned himself with Sauron, Gandalf's Fala was destroyed while battling a Balrog. When Gandalf returned, his new Fala was not Grey but White. (Did Gandalf get a promotion? Does 2+2=5 or 4? Discuss)
Radagast was sent mainly to protect Nature (again, Vala Yavanna) and basically fucked off to the woods. Neither the adventures nor fate of Alatar and Pallando were described by Tolkien, other than that they were last present in the East.
Fun fact: Because the Ainur are immortal, the peoples of Arda just assumed the five Wizards were like Elves. All but three people, at least: Galadriel, Elrond, and Círdan. Yes, these three KNOW that Gandalf is a Maia. Put that tidbit in your head next time you watch the Hobbit or Lord of the Rings!
(Search my blog for #ainur for more, including definitions of all the strange words. ;) )