Of the Blue little was known in the West, and they had no names save Ithryn Luin ‘the Blue Wizards’; for they passed into the East with Curunír, but they never returned, and whether they remained in the East, pursuing there the purposes for which they were sent; or perished; or as some hold were ensnared by Sauron and became his servants, is not now known. But none of these chances were impossible to be; for, strange indeed though this may seem, the Istari, being clad in bodies of Middle-earth, might even as Men and Elves fall away from their purposes, and do evil, forgetting the good in the search for power to effect it. […] For it is said indeed that being embodied the Istari had need to learn much anew by slow experience, and though they knew whence they came the memory of the Blessed Realm was to them a vision from afar off, for which (so long as they remained true to their mission) they yearned exceedingly. Thus by enduring of free will the pangs of exile and the deceits of Sauron they might redress the evils of that time.
Unfinished Tales, Part 4, Chapter 2: The Istari