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Wizards are Maiar, lesser Valar, (the powers of the world). They were sent to Middle-Earth in an incarnate form, which was weaker, and forbidden to deviate from their path of defying Sauron, who in ancient origin was one of their order.
(Annoyingly, Gandalf was the only one that did his job properly!! Only one out of five, tut tut, Powers of the World.)
Anyway, they were originally Ainur and helped create the World, their father is Iluvatar (god) I guess.
They are immortal because they are basically lesser gods in human form. But Saruman, after his incarnate body was killed, looked to the West for pardon, and was apparently destroyed completely!
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