The HoME books and Tolkien's Letters. There are interesting things to be
found most specifically in Morgoth's Ring, The War of the Jewels, The Peoples
of Middle-earth, and Tolkien's Letters has some of his longer discussions of
such matters as "did Gandalf really die?" In the HoME books, the mentions
about any of the Istari are generally brief, but often quite enlightening (the
repeated mentions of Olorin's capacity as a source of inspiration and hope
makes me wonder, sometimes, if Tolkien thought of him, as a Maia, as being some
kind of Muse). There is interesting material on the Blue Wizards in The
Peoples of Middle-earth (although it in some ways directly contradicts things
he said elsewhere about them, most specifically that the Istari first appeared
during the second millennium of the Third Age; one of his speculations is that
Alatar and Pallando, whom he gives different names here, showed up during the
Second Age). Fortunately, all of the books are indexed, although the
Letters are actually much more detailed and precise in the cataloging of
information than some of the HoME books. If, for instance, you try to
look up Olorin in either Morgoth's Ring or TPoME, you will find only one or two
pages referenced, but if you sit down and read the book, you will find that
there are several others (one of which is rather significant, I think) that are
not indexed at all, not under any name of the character. Sometimes, if
you want to find all the information available, you really do need to sit down
and read the things cover to cover, no matter how dry some parts may be.
Good luck in the
hunting!