Tolkien tells us that the Istari were Maia who were put into manlike bodies or vessels. He says they are capable of a "death" and are susceptiple to hunger, thirst, slaying etc. This is shown in Gandalf the Grey's fall with the Balrog. Gandalf is not killed in the sense of men and elves, because he is allowed to come back.

When he does return in Fangorn Forest he is suspected to be Saruman by Aragorn, Legolas, and Gimli. Gimli even attempts to strike him but his axe falls from his hand. Gandalf says that NO weapon can harm him any longer so Gimli should not be upset. However according to Tolkien, the Istari were sent to Middle-earth with the ability to be harmed by weapons. So I think that Eru sent Gandalf back without this body. I think he came as the Valar and Maia of Aman were, able to take the shape they want around the Children of Illúvatar. The Silmarillion even says that in Valinor Olorin (Gandalf), used to walk among the elves in the likeness of them or not seen at all. Doing this he would aid them. Gandalf just took his old looks because it would make his friends feel more comfortable.

Interested to here thoughts and sorry this is so jumbled and confusing

Jon

P.S. Some of you probaly know this about Gandalf but I'll say it anyway. In one of Tolkien's rough drafts of the Silmarillion Gandalf was the counselor of Irmó also known as Lorién. Thought it was interesting.