Grief and mourning are Nienna's province; in her halls in the distant west, she weeps for the suffering of Arda. Her part in the Music of the Ainur was one of deep sadness, and from this grief entered the world in its beginning.
She teaches pity and endurance; though she rarely travels to the joyful city of Valmar, she goes more often to the halls of her brother Mandos to comfort and counsel those in the Halls of Waiting. The Maia Olórin, who was later to travel to Middle-earth as Gandalf, learned much from her.
Nienna played a part in the making of the Two Trees of Valinor; she wept on the mound of Ezellohar, watering it with her tears. After the Destruction of the Trees by Melkor, she once again wept on their wounded remains, cleansing the filth of Ungoliant, and helping to bring forth the last fruit and flower that were to become the Sun and the Moon.
The pity of Nienna is most clearly seen in her support for Melkor when he sued for the pardon of the Valar. Though she spends her time in the world mourning for the destruction he has wreaked in Arda, when he sued for release after his three ages of Captivity, Nienna spoke on his part.
Of Nienna's appearance we have almost no knowledge. The only hint is in Quenta Silmarillion 9, Of the Flight of the Noldor, where she 'cast back her grey hood'. Given that Gandalf was her student, this might (though somewhat doubtfully) have some relevance to his title, the Grey.