The Valar (Singular: Vala) are the first fifteen Ainur that descended upon Arda after its creation. These Ainur entered Arda to give order to the world and reverse the influence of the Dark Lord Melkor.
There were fifteen Valar (including Melkor) that entered Arda after its creation. These Valar assisted with shaping the world using the music of Ilúvatar, with all of them, including Melkor, adding their own part to the music. Melkor, however, opposed Ilúvatar's vision of Arda, and sewed a melody of aggression into the Ainulindalë, which resulted in Melkor being cast out, prompting the start of Melkor's great rebellion.
The Valar originally lived on the hidden island of Almaren, but moved to Aman and founded Valinor after Almaren was destroyed.