So Sauron died and came back? But morgoth can’t? I wonder if the 3 servants can also come back
Did the blue wizards arrive before gandolf or with him? Wasn’t sauroman the leader of the wizards?
Those who wear the rings at some point become wraiths to the one ring? Was that already created
Galadriel has magic? Wasn’t she more powerful than gandolf? Didn’t she use magic in the battle with gandolf etc against the necromancer?
All I can do is answer from as I understand Tolkien's lore. Whether or not the show will diverge (or how much) is anyone's guess.
Sauron and Morgoth. Morgoth was defeated at the end of the First Age and cast out into the Void. He isn't dead, per se, just outside of creation, and can't come back in. That said, at one point Tolkien posited a prophesy that Morgoth would return in a Ragnarok-like Dagor Dagorath, or "Battle of All Battles." But he didn't develop this further, at least in his published notes.
Sauron didn't die at the end of the First Age, but instead hid in Middle-earth before gradually gathering power during the Second Age. He tried to sway the Elves by appearing to them as Annatar, "Lord of Gifts," and helped them forge the rings. Eventually the elves rejected him and war ensued. Later, he gave himself up to the Numenoreans and was taken to Numenor, where he quickly went from prisoner to advisor to the king. He eventually convinced Ar-Pharazon to sail west and attack the Valar. It didn't go well, Numenor was sunk, and Sauron did die - his body, at least. His spirit returned to Mordor and he rebuilt himself. Centuries later, he was again killed (physically) by Isildur, as depicted in the prologue to Peter Jackson's trilogy.
Or to summarize, Sauron didn't die at the end of the First Age. He died three times (that I can remember) - twice in the Second Age, and once--and supposedly a final time--at the end of the Third Age, with the destruction of the One Ring. Morgoth, on the other hand, was never killed, just banished outside of creation.
The Istari. A thousand years into the Third Age, when the Valar learned that Sauron was rising again, they sent the Istari, or five Wizards, to MIddle-earth to help. I believe Saruman (the leader) and one of the blue wizards went first, then were joined by Gandalf, Radagast, and the other blue wizard. The two blue wizards went east to combat Sauron's influence there, and disappeared from the story. Supposedly they gave rise to various esoteric orders (and thus may be Tolkien's origin story of various esoteric and occult orders, and/or Eastern mysticism).
The Rings. When the elves were forging the rings in Eregion (Second Age), Sauron secretly made the One Ring to control them. The Men were corrupted and became the Nazgul, but the Elves sensed his treachery and took theirs off and hid them. Dwarves were given seven rings and proved to be too strong-willed to be dominated by Sauron, using them to gain great wealth, though also became increasingly greedy. I believe their rings were either destroyed or stolen by Sauron. So to answer your question, only the nine men became wraiths - the seven Dwarf-lords and three elves did not. During the LotR, Galadriel, Elrond, and Gandalf wore the elven rings. I believe at one point Cirdan the Shipwright wore a ring, but gave his to Gandalf.
Magic (and Galadriel). Magic is very understated in Tolkien's stories, so it is hard to say how it is used beyond relatively minor effects done by Gandalf. For instance, he used a sword in his battle against the Balrog, and so you can say that Gandalf was "magic-infused," but not casting D&D-esque spells.
Galadriel was an ancient Eldar elf (meaning, she had lived in Valinor), some of whom were close in power to the Maiar - among whose number are Gandalf and the other wizards. So while I don't think you can really rank Middle-earth characters in terms of power, there is a rough hierarchy. Another elf of great power was Glorfindel, who died fighting (and killing) a Balrog in the First Age, but was brought back to life and went to Middle-earth, and lived in Rivendell. He was considered to be about as powerful as a Maiar, I believe.