[luthien-elvenprincess]

Some fragmented quotes from the Ainulindale :

Now the Valar took to themselves shape and hue: and because they were drawn into the World by love of the Children of Iluvatar, for whom they hoped, they took shape after that manner which they had beheld in the Vision of Iluvatar, save only in majesty and spendour. ...they need it not (their shape), save only as we use raiment,... Therefore the Valar may walk, if they will, unclad, and then even the Eldar cannot clearly perceive them, though they be present. But when they desire to clothe themselves the Valar take upon them forms some as of male and some as of female; for that difference of temper they had even from their beginning, and it is but bodied forth in the choice of each, not made by the choice, even as with us male and female may be shown by the raiment but is not made thereby. ...they may clothe themselves in their own thought, made visible in forms of majesty and dread.

Then Melkor was what was done, and that the Valar walked on Earth as powers visible, clad in the raiment of the World, and were lovely and glorious to see, and blissful... His envy grew then the greater within him; and he also took visible form, but because of his mood and the malice that burned in him that form was dark and teribble.

I understand these passages to say that the Divinity (or spirit, or energy, whatever you want to call it) of each of the Valar clothed themselves in a body when they entered Arda. The taking-on of shape and hue by the Valar is compared to the wearing of clothing. Therefore, to use the term 'naked' in refering to them in their divinity/spirit/energy state can be considered accurate.

The Valar are discarnate until they take shape to themselves. The text indicates the shape and hue that each took on was based on what they already were as spirit/energy/divinity; they didn't choose the shape and hue to show what they were. As the text indicates, we (humans) are not male and female because of what we wear; but, we dress as male or female because of what we already are. (Let's not even get into the cross-dressing issue! )
Melkor was a dark and terrible shape because of who he was, and who he was, was also partially determined by what he did. The reason that Gandalf came back to his bodily form and was Gandalf the White was because of who he (his spirit/energy/divinity) was at that time. He received a more exalted position from what he had before because of what he did in carrying out the will of Iluvatar.
So, the nakedness that Gandalf speaks of could very well be the state of his discarnate self in returning to Arda and to his naked (in the context of clothing) physical body. The receiving of white robes was a honor given to Gandalf prior to returning and was reflected in the body to which he returned.