Gandalf's fall from the Bridge of Khazad-Dum precipitated an epic battle with the Balrog in the bowels of Moria. They fell long and long, and then Gandalf pursued his enemy through many forgotten passages deeper under the Mine than any Dwarf had ever delved--terrible places made by things for which there was no name, things older than Sauron. At last the Wizard, following the Balrog in despair and hope, was led back to the known realms of Moria, to the fabled Endless Stair which spiraled up and up through the whole edifice until it exited in Durin's Tower on the pinnacle of Zirakzigil. There Gandalf struggled with the Balrog, in the unseen Battle of the Peak, heralded by thunder, lightening, fire, and smoke. Here only the words of Tolkien will do:

Most Tolkien authorities believe that Gandalf actually died at this point, to be returned to Middle Earth by the Valar to finish his task.

Gwaihir the Windlord, King of the Eagles, finds him on the mountain, and takes him to Lorien to heal, and he does, but Gandalf the Grey is gone. Gandalf the White has taken his place--the White Rider has come to do battle with Sauron.