The Hobbit, Fellowship of the Ring, Two Towers, Return of the King
Gollum was originally known as Sméagol. He was of a race that was probably originally related to the hobbits of the Shire, though years of wearing the ring twisted him in to a creature that no longer looked like a hobbit (he was most likely one of the Stoors). Sméagol and a friend Deagol were by the river when Deagol swam in to the water after something he saw shining below the surface. What he saw and found was the ring of Sauron. He showed it to Sméagol, Sméagol wanted it and after an argument, Sméagol killed Deagol and took the ring. Sméagol then began getting up to mischief, such as stealing and eavesdropping, while wearing this ring which made him invisible. This soon lead to him being cast out from his village since his kin no longer trusted him. In time Sméagol wandered below the Misty Mountains to the place where he lived alone for hundreds of years with the ring (his precious).
Gollum & Bilbo
The Hobbit describes how Bilbo Baggins from The Shire got the ring from Gollum. Bilbo had in fact found the ring just before he met Gollum. Gollum didn't realise he had lost it. They played a game of riddles and spoke in a way that both understood (this similarity in the way they both spoke to each other was one of the first things to make Gandalf suspect that Gollum may have originally been a hobbit like Bilbo). In the course of this game, Gollum discovered that Biblo had his ring and believed that he had been cheated by Bilbo. Bilbo used the ring to make himself invisible and escaped from Gollum.
Gollum's last years
When Gandalf was trying to learn about the ring Bilbo found, he sent Aragorn to track Gollum down. Aragorn finally found Gollum but he wasn't the first. Gollum had already been into Mordor. When he went there has was captured & tortured which was how Sauron learned the association between the ring, The Shire and the name Baggins. It was also around that time that Gollum first encountered the giant spider Shelob.
In the film, Gollum/Sméagol was played by Andy Serkis.
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