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My understanding is that Sauron along with the other wizards are all Maiar. They are all timeless, so no one is older than anyone else.
I would have thought that 5 Maiar (or even two in LOTR) should be stronger than a single Maiar. Especially given that Sauron has already had his physical body destroyed several times. But Gandalf and the other wizards consistently fear Sauron.
As such, why is Sauron portrayed as being stronger than Gandalf or any other Maiar?
As I understand it, the Maiar existed before men, and even before there was a land, but when land was created, they were to leave the beings that lived there alone. Sauron refused and he became a god-like creature living in the world of men (and elves and dwarfs, and so on), but the Istari (also Maiar) were sent by Iluvatar to help guide the lesser beings in the fight against Sauron. Key part there being: sent to help guide, not solve their problems.
They were bound by that command, I'm not entirely sure if their powers were actually limited when they became the Istari, but even if they weren't they refused to act like that to fulfil their mission: help men, elves, and the rest fight against their enemy.
Does that make sense?
Firstly, not all Maiar are equal in power, much as not all men (or elves or dwarves for that matter) are equal in their attributes. Presumably, the differences can be rather significant. For comparison, note also that Melkor was able to challenge the other Valar, even though he was outnumbered 14 to 1.
Of Gandalf, it is said that:
Wisest of the Maiar was Olórin. He too dwelt in Lórien, but his ways took him often to the house of Nienna, and of her he learned pity and patience.
Note that this mentions wisdom, but speaks little of actually being powerful (e.g. for the purposes of a direct confrontation). On the other hand, Sauron is said to be rather powerful. (The passage might also suggest that Sauron grew stronger during his service to Melkor.)
Among those of his servants that have names the greatest was that spirit whom the Eldar called Sauron, or Gorthaur the Cruel. In his beginning he was of the Maiar of Aulë, and he remained mighty in the lore of that people. In all the deeds of Melkor the Morgoth upon Arda, in his vast works and in the deceits of his cunning, Sauron had a part, and was only less evil than his master in that for long he served another and not himself. But in after years he rose like a shadow of Morgoth and a ghost of his malice, and walked behind him on the same ruinous path down into the Void.
Secondly, a good reason to fear Sauron is not only his own power, but also the fact that he commands a huge army of orcs and other creatures, as well as the Ringwraiths. I would suppose that he would at all times be surrounded by powerful allies. To make matters worse, he is extremely good at manipulating his enemies (see Theoden, Denethor, Saruman, etc.) which is an additional reason to fear him. If it came to a direct confrontation, the Istari should expect to have their allies desert them, or even turn against them, and to find Sauron well prepared for defense.
Thirdly, it is not the case that Sauron is always portrayed as stronger. The Istari have indeed confronted Sauron back when dwelt in Dol Guldur, and Sauron fled before them. See e.g. this answer for more elaboration.
Gandalf never actually comments directly on whether he is more powerful than Sauron or not; the closest he ever comes to it is to say (in discussing the potential dangers of Fangorn Forest):
Dangerous? And so am I, very dangerous: more dangerous than anything you will ever meet, unless you are brought alive before the seat of the Dark Lord ...
(The Two Towers, Book 3, Chapter 5, "The White Rider") which appears to imply that Gandalf (even as Gandalf the White) feels himself less powerful than Sauron.
This doesn't seem to be a big deal for Gandalf, though; we've seen him (as Gandalf the Grey) less powerful (or at least no more powerful) than the Balrog:
'Well, well! That's over!' said the wizard struggling to his feet. 'I have done all that I could. But I have met my match, and have nearly been destroyed. ... Then something came into the chamber. ... it perceived me and my spell.
'What it was I cannot guess, but I have never felt such a challenge. The counterspell was terrible. It nearly broke me.'
(The Fellowship of the Ring, Book 2, Chapter 5, "The Bridge of Khazad-dûm")
So it shouldn't be surprising that there were beings more powerful than Gandalf. But power was not what he wanted, or needed. The purpose of the Istari was
to contest the power of Sauron, if he should arise again, and to move Elves and Men and all living things of good will to valiant deeds.
(The Silmarillion, "Of The Rings Of Power And The Third Age")
In summary, then, Sauron was portrayed as stronger than Gandalf because he, like some other beings, apparently was indeed stronger, and Gandalf seems to have recognized that fact. It was not a big deal to him (though it may have been to Saruman), because that's not how Gandalf worked, and not how the Wizards were supposed to work.
This is explained very quickly when Gandalf comes back as Gandalf The White, he says that black is still stronger, implying the the dark lord Sauron was still stronger that himself, Gandalf The White. Also the 5 wizards are not powerful enough to take down his uncountable legions of orcs and beasts. The ring could however give them the power to beat them, but that would just go onto corrupt them and they would become like Sauron, or even worse maybe.
