What are you thoughts on what she is, where she came from, etc
"For of all the Maiar many were drawn to [Melkor's] splendour in the days of his greatness, and remained in that allegiance down into his darkness; and others he corrupted afterwards with lies and treacherous gifts." - the Valaquenta
"The Eldar knew not whence [Ungoliant] came; but some have said that in ages long before she descended from the darkness that lies about Arda, when Melkor first looked down in envy upon the Kingdom of Manwë, and that in the beginning she was one of those that he corrupted to his service. But she had disowned her Master, desiring to be mistress of her own lust, taking all things to herself to feed her emptyness..." - the Quenta Silmarillion
It seems most likely that Ungoliant was one of the Maiar who were corrupted by Melkor soon after his uprising.
A second possibility is that Ungoliant could have come from beyond the very universe, much like many of the Great Old Ones of H.P. Lovecraft's Cthulhu Mythos. I know that I think of Lovecraft when Gandalf speaks of the nameless things that crawl deep within the bowels of the earth.
As stated before, it is likely she a Maiar, however, it is my personal belief she (or it) came from the timeless void.
Ungoliant is that one big spider you see in the shower that you're too scared to swat with a magazine because you're afraid it'll just make it mad