The Silmarillion and she is a Queen of the Valar and one of the Artar - the Holy Ones of Arda.
Her name contains the Quenya word nie, which means 'tear' and her name means "Weeping" or "She Who Weeps". She grieves for all the suffering in the world and is responsible for the mercy and grief spread across Arda. Her gift to the Music of Ainur was a deep sadness, from which grief entered the world at its creation.
However, her message is not really about eternal grief, it is about pity and endurance and those who listen to her learn these gifts. Her greatest student will be very familiar to all Tolkien fans: Gandalf.
She helped create The Two Trees, the original light for Arda, but watering them with her tears. Then when they were destroyed she mourned their destruction and her tears brought healing, allowing the trees to bring forth their last flowers to create the sun and the moon.
I've always thought that so much of Tolkien's work is wonderful, but sad and Nienna seems to echo this so very well.
Sources: Wikipedia | Tolkien Gateway | Tolkien Wiki
Are you a Tolkien fan? I have to admit I love his stories, but sometimes I feel very bogged down with the prose - especially all the singing :).
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