The Ainur were effectively the Gods of Tolkien's stories. They ruled Middle Earth but generally didn't interfere in its affairs directly. The most notable exception was when the Valar defeated Morgoth to end the war between him and the inhabitants of Middle Earth. The 7 Lords of the Ainur were called the Valar (singular - Vala) while the 7 Queens of the Ainur were the Valier. Each of them are described below.
The greatest of the Valar and greatest of all kings was Manwë Súlimo, Lord of winds. He had a great love for birds and of all the Valar, was closest in thought to Ilúvatar.
Ulmo was the Lord of water. Of all the Valar he had more personal dealings with elves and men than most. He lived in the oceans and through his streams and rivers, he gained a lot of knowledge about whatever was taking place in the world. He personally appeared in some instances, such as his appearance to the man named Huor, during the time of the wars with Morgoth.
Aulë loves all things in the earth and is a master of many crafts. The elves learned much from him, especially when it came to working with metals. The dwarves were originally created by Aulë as a race that he could teach his crafts to. Although this was against the will of Ilúvatar, Ilúvatar understood that Aulë's intentions were good and granted life to the dwarves.
Mandos. His real name is Námo, though he is more commonly known by the name of the place he dwells in. He is the doomsman of the Valar and keeper of the houses of the dead. Elves who die are summoned to his halls. One of the Fëanturi brothers (masters of spirits).
Lórien. His real name is Irmo, though he is more commonly known by the name of the place he dwells in. He is a master of visions and dreams and his gardens are the fairest place in the world. One of the Fëanturi brothers (masters of spirits).
Varda - Lady of the stars and companion of Manwë. She is far sighted and sees all the reagions of the world. When they are together (which is most of the time), Manwë can see better and Varda can hear better. The elves revere Varda most of all and call her Elbereth - Star Queen. She is hated and feared by Morgoth and all his servants.
Yavanna is the spouse of Aulë and is next to Varda among the Valier. While he loves the material the earth is made of, she loves the things that grow from the earth. She is known by the elves as Kementári - Queen of the earth.
For further information, refer to the Silmarillion chapter titled Valaquenta.
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