After they arrived, the two Blue Wizards (Alatar and Pallando) went into the east and no one heard from them again. Below is what Tolkien had to say about them:
Second Age:
Their task was to circumvent Sauron: to bring help to the few tribes of Men that had rebelled from Melkor-worship, to stir up rebellion... and after his first fall to search out his hiding and to cause dissension and disarray among the dark East... They must have had very great influence on the history of the Second Age and Third Age in weakening and disarraying the forces of the East... who both in the Second Age and Third Age otherwise have... outnumbered the West.
Third Age:
I think that they went as emissaries to distant regions, east and south, .... Missionaries to enemy occupied lands as it were. What success they had I do not know; but I fear that they failed, as Saruman did, though doubtless in different ways; and I suspect they were founders or beginners of secret cults and "magic" traditions that outlasted the fall of Sauron.
As for Radagast, when the elves went looking for him during the War of the Rings, they found his home empty so who knows where he is - fled or killed.
They cannot truly be killed but their fate isn't really known.
And, no, Gandalf didn't know that Bilbo's ring was The One Ring until many years after Frodo got it.