I don't believe it was Eru, because Tolkien said flat out that He never appeared in Middle-earth, and Tolkien felt himself not up to the task of writing about an embodied Creator. Also, it is explicitly said that Gandalf was the only one of the wizards who succeeded in his task and returned to Aman. I believe in that same letter Tolkien says that he was given an enhancement of power and returned to finish his tasks. Regardless of the body, his spirit was an immortal 'divine' spirit, as were those of the other wizards. Saruman did not dissipate into nothingness after his body was slain, so why should Gandalf?
Can't look up much in the way of references, since I'm now on vacation, and loving it. Just winging it, here...
