Those names are mostly stuff from the surrounding works - the Silmarillion, Childern of Hurin, the Histories of Middle-Earth, and so on. Eru is basically the all-knowing, all powerful creator dude (but who doesn't interfere with anything practically, besides, I think, sinking Numenor), the Valar are the higher angelic order, kinda like gods but all under Eru. The Maiar are the class below them, and include Gandalf, Saruman, Radagast, the Blue Wizards (Ithryn Luin, they're mentioned I think but aren't actually seen in LOTR) Sauron, and the Balrog. Melkor is the evil Vala, he turned Sauron evil and Sauron servied him for a long time in the first age, then Melkor (also known as Morgoth) was chained up so Sauron went it alone.
You.
