References:
Now the Valar took to themselves shape and hue; and because they were drawn into the World by love of the Children of Ilúvatar, for whom they hoped, the took shape after that manner which they had beheld in the Vision of Ilúvatar,    save only in majesty and splendour  Moreover, their shape comes of   their knowledge of the visible World, rather than of the World itself;   and they need it not, save only as we use raiment, and yet we may be   naked and suffer no loss of our being.  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 uipon 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 that choice,  evenas with us male and female may  be shown by the raiment but is not  made thereby.   But the shapes wherein  the Great Ones array themselves are not at all  times like the shapes of  the kings and queens of the Children of Ilúvatar; for at times they may clothe themselves in their own thought, make visible in forms of majesty and dread.
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Then   Melkor saw ... 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 tha burned in   him that form was dark and terrible.
Silmarillion, "Ainulindalë"
[Ulmo]   does not love to walk upon the land, and will seldom clothe himself in  a  body after the manner of his peers.  If the Children of Eru beheld  him  they were filled with a great dread; for the arising of the King of  the  Sea was terrible, as a mounting wave that strides to the land,  with dark  helm foam-crested and raiment of mail shimmering from silver  down into  shadows of green. ... Ulmo's voice is deep as the deeps of  the ocean,  which only he has seen.
Silmarillion, "Valaquenta"
In  the  form of a woman, [Yavanna] is tall, and robed in green; but at  times  she takes other shapes.  Some there are who have seen her  standing like a  tree under heaven, crowned with the sun; and from all  its branches  there spilled a golden dew upon the barren earth ...
Silmarillion, "Valaquenta"
In   Angband Morgoth forged for himself a great crown of Iron, and he  called  himself King of the World.  In token of this he set the  Silmarils in  this crown.  His hands were burned black by the touch of  those hallowed  jewels, and black they remained ever after; nor was he  ever free from  the pain of the burning, and the anger of the pain.
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Nonetheless his majesty as one of the Valar long remained, though turned to terror.
Silmarillion, "Of the Flight of the Noldor"
[Arien,   Maia of the Sun] was chosen because she had not feared the heats of   Laurelin, and was unhurt by them, being from the beginning a spirit of   fire, whom Melkor had not deceived nor drawn into his services.  To   bright were they eyes of Arien for even the Eldar to look on, and   leaving Valinor she forsook the form and raiment which like the Valar   she had worn there, and she was as a naked flame, terrible in the   fullness of her splendour.
Silmarillion, "Of the Sun and Moon"
Of  old there was Sauron  the Maia..... He became the most trusted of the  servents of the Enemy,  and the most perilous, for he could asssume many  forms, and for long if  he willed he could still appear noble and  beautiful, so as to deceive  all but the most wary.
Silmarillion, "Of the Rings of Power and the Third Age"
[During the fall of Númenor]   the world was broken, and the land was swallowed up, and the seas rose   over it, and Sauron himself went down into the abyss.  But his spirit   arose and fled back on a dark wind to Middle-Earth, seeking a home.
[After the fall of Númenor,  Sauron returned to his old haunts in Mordor, in Middle Earth.] There   now he brooded in the dark, until he had wrought for himself a new   shape; and it was terrible, for his fair semblance had departed for ever   when he was cast into the abyss at the drowning of  Númenor.
Silmarillion, "Of the Rings of Power and the Third Age"
But  at last the siege was  so strait that Sauron himself came forth; and he  wrestled with  Gil-galad and Elendil, and they both were slain, and the  sword of  Elendil broke under him as he fell.  But Sauron also was  thrown down,  and with the hilt-shard of Narsil Isildur cut the Ruling  Ring from the  hand of Sauron and took it for his own.  Then Sauron was  for that time  vanquished, and he forsook his body, and his spirit fled  far away and  hid in waste places; and he took no visible shape again  for many long  years.
Silmarillion, "Of the Rings of Power and the Third Age"
[Gandalf describes his  battle with the Balrog:]  " ... I threw down my enemy, and he fell from  the high place and broke  the mountain-side where he smote it in his  ruin. Then darkness took  me, and I strayed out of thought and time, and I  wandered far on roads  that I will not tell.
"Naked  I was sent back --  for a brief time, until my task is done.  And naked  I lay upon the  mountain-top. ... There I lay staring upward, while the  stars  wheeled  over, and each day was as long as a life-age of the  earth.  ... And so  at the last Gwaihir the Windlord [Chief of the Eagles] found me again,  and he took me up and bore me away."
The Two Towers, "The White Rider"
According to the timeline in Appendix B, Gandalf was dead for 19 days.
"If you must know more, his name is Beorn. He is very strong, and he is a skin-changer.
"...  He changes his skin:   sometimes heis a huge black bear, sometimes he  is a great strong  black-haired man with huge arms and a great beard.  I  cannot tell you  much more, though that ought to be enough.  Some say  that he is a bear  descended from the great and ancient bears of the  mountains that lived  there before the giants came.  Others say that he  is a man descended  from the first men ...  I cannot say. ... He is not  the sort of person  to ask questions of.
"At  any rate he is under  no enchantment but his own. ... As a man he keeps  cattle and  horses  that are nearly as marvelous as himself. ... As a  bear he ranges far and  wide."
The Hobbit, Chapter 7
We  later see Beorn communicating with his  animal companions/servants.  He  apparently changed into bear form after  supper, and spent the night  patrolling.
"The realm of Sauron is ended!" said Gandalf.
And  as the Captains gazed  south to the Land of Mordor, it seemed to them  that, black against the  pall of cloud, there rose a huge shape of  shadow, impenetrable,  lightning-crowned, filling all the sky.  Enormous  it reared above the  world, and stretched out toward them a vast  threatening hand, terrible  but impotent:  for even as it leaned over  them, a great wind took it,  and it was all blown away, and passed; and a  hush fell.
Return of the King, "The Field of Cormallen"
To  the dismay of those  that stood by, about the body of Saruman a grey  mist gathered, and  rising slowly to a great hight like smoke from a  fire as a pale shrouded  figure it loomed over the Hill.  For a moment  it wavered, looking to  the West; but out of the West came a cold wind,  and it bent away, and  with a sigh dissolved into nothing.
Return of the King, "The Scouring of the Shire"
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