Much earlier in Middle Earth than when TLOR takes place, waas the story of the gods and the elves and men in the early days. The gods settled in a land called Valinor in the west, over the seas. One of the gods was Morgoth, and Sauron was his mightiest servant. Morgoth fled Valinor and wanted to rule Middle Earth by himself.

Long story short the elves in Valinor go to the mainland(Middle Earth) to defeat Morgoth and get some paybacks for stunts he pulled earlier. Morgoth beats the crap outta them and the host of Valinor takes pity, comes forth and destroy Morgoth. They take many of the elves back west, and reward the men loyal to the elves with long life and their own land Westernesse. These men are the Dunedain, Aragorn's ancestors. Sauron however escapes and hides to fight another day.

The Dunedain prosper for a few thousand years and eventually capture Sauron on their own. But Sauron is alot smoother in those days and corrupts the dunedain till the gods destroy them. Elendil(the guy in the first part of FOTR movie who gets clipped by Sauron) and his son Isildur escape the ruin of Westernesse to Middle Earth and set up shop allying with the remaining elves against Sauron. This is where the first movie starts.

Gandalph and the other wizards are spirits sent from Valinor to help the people of Middle Earth against the power of Sauron. I guess they felt bad or something about not doing anything too direct. Balrogs are spirits of the same order, but were seduced by Morgoth early on and became his most powerful servants. A few of them escaped as well and hid deep in the earth, and Sauron was of the same order but more ancient and powerful. Since they are similar in might I guess thats why he never had any as servants. Whatever. Brief history, great story, get the books.

Vezkulia Blackheart
High Priestess of innoruuk
Guardians of The Keep
Vezzy's Outfit