Warning: Wikipedia contains spoilers
Nienna is a Vala. She is the sister of Mandos and Irmo. Her name means She who weeps. She lives in the far West of Arda, and grieves for the suffering of the world.
Nienna wept on the mound of Ezellohar, watering it with her tears. After the destruction of the Two Trees by Melkor, she wept on their remains, cleansing the filth of Ungoliant, and helping to nurture the fruit and the flower that became the Sun and the Moon. Gandalf was her student.