Lord of the Rings explained: What is Sauron and how is he connected to Gandalf?

LORD OF THE RINGS fans will no doubt be settling into the new JRR Tolkien series this week, The Rings of Power, but they may have some questions about Sauron and his origins. Where did Sauron come from? What is he really? And, more importantly, how is he directly connected to Gandalf – otherwise known as Mithrandir?
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