If you include The Silmarillion in your perception of Tolkien's "canon" (as I have heard some do not), then yes, the Istari (Gandalf, Saruman, Radagast, and the other unnamed two) are Maiar, which are similar to, but "lesser" than the Valar.
Here is the passage from Valaquenta:
With the Valar came other spirits whose being also began before the World, of the same order as the Valar but of less degree. These are the Maiar, people of the Valar, and their servants and helpers. Their number is not known to the Elves, and few have names in any of the tongues of the Children of Iluvatar; for though it is otherwise in Aman, in Middle-earth the Maiar have seldom appeared in form visible to Elves and Men....
Wisest of the Maiar was Olorin. He too dwelt in Lorien, but his ways took him often to the house of Nienna, and of her he learned pity and patience... In later days he was the friend of all the Children of Iluvatar, and took pity on their sorrows; and those who listened to him awoke from despair and put away the imaginations of darkness.
The whole point in the Istari was to have them help to turn the hearts of Men and Elves back toward the good fight. (I know some people don't appreciate any connections being drawn between Tolkien and Christian theology, but if I may do so for a momenet for the sake of clarity, it's much like in the Old Testament where angels were occasionally sent as messengers or guides for the followers of God, but rarely ever directly combated the the forces of evil themselves). Therefore, one of the stipulations what was placed upon them upon coming to Middle-earth was that they must take on mortal forms, and this would greatly inhibit their power. And keep in mind that Sauron is against Eru, so of course he wouldn't follow that rule and instead use as much power as he could possibly muster.