It's difficult to make comparisons, agreed, but in terms of native power (the power an individual naturally has in their beginnings) Sauron is supreme by the time of the third age in Middle Earth. However, evil is inherently wasteful and ultimately destructive of those who are enslaved to it. Thus Melkor - the most powerful being within Ea, whose original role was to begin great new works at a cosmic level, becomes little more than a dispersed husk of himself as Morgoth at the end of the first age. (Ungoliant is one of his most ancient servants from out there in the universe, into whom he has poured a great deal of his power and who rebels against him. I don't think she ever gets around to eating him - it's the Silmarils she wants to devour.) Sauron has 'not yet fallen so low, and so has ot yet squandered his native power so disasterously (until the ring is destroyed). The Witch King at the height of his power, at the Battle of the Pelennor, has been given extra demonic (maiaric) power by Sauron and at this point would undoubtedly be formidable BUT you'll remember he was still conscious of the prophecy that he would not fall by the hand of any man so I doubt he would have chosen to tangle directly with Galadriel or any other Elf lord, but would have made use of his army in the destruction of Lorien instead. How the confrontation with Gandalf would have gone I don't know - was Gandalf classed as a man here, or had Sauron not told him of Gandalf's true nature? My money would normally be on Gandalf, but there seems to be some kind of destiny at work here. Gandalf himself didn't seem sure of the outcome in his answer to Denethor.
My own feelings are that Sauron is undoubtedly most powerful of those mentioned (even without the ring), then Gandalf, then Galadriel then The Witch King. Saruman would have been more powerful than Gandalf the Grey (I think) but lost it somewhere along the line when he fell into evil. To sum up - power of the evil ones can be given or taken away or squandered.
Finally - someone mentioned Gandalf's resurrection. This wasn't Gandalf's doing, bu Eru's. Tolkien does write though about Melkor being so mighty as to be able to draw his old, original might back to himself over long ages and make his return; hence Dagor Dagorath.