The fey are the first creatures of Creation. When the Immortals built Creation, the fey were pulled from the chaos fully formed, according to the conscious or unconscious desires of the Immortals who created them. They and their descendants were the first to populate Creation, mainly in the land of Faerie, where all living creatures, from grass to elves, are fey in origin.
Because they were wrought from the minds of the Immortals, there is less diversity among the fey then among natural creatures, and they do not operate according to natural logic. As constructs of the mind, even an Immortal mind, the complexity of their personalities can vary greatly, from stereotypical to highly nuanced. Their motivations can be opaque: fey logic is story logic, and one cannot expect a fey to react to events the same way a natural creature, or to value the same things.
Some fey are immortal (note the lower case), others are mortal if extremely long lived. There is little to differentiate which will be which, except to the extent that one condition or the other better informs the story that is their lives, or their role in the story of Faerie.
Fey humanoids come in many shapes and sizes. Elves and dwarves would be the most common, but pretty much any non-human humanoid creature from a fantasy game system could be used to represent a fey creature. For the most part, these are all the same “species”, so two “elves”, for instance, could have a “dwarven” child. If the story called for it.
There are two main sets of division among the fey. One is of allegiance; that is the division between seelie and unseeliie, or light and dark, fae. The other is between high fey and low fey. The lines are often blurred, but in general, seelie fey are attractive to look upon, like elves or well groomed dwarves, and unseelie fey are ugly, like ugly dwarves, orcs, and goblins (although a good natured but homely hob could easily be seelie). High fey are served by low fey: low fey tend to be shorter than elves, or even dwarves; examples would be gnomes, hobs or pixies.
The oldest among the fey, those created at the time of Creation, knew their creators, and may have met other Immortals. However, the Immortals have more in common with natural creatures than with their fairytale constructs, and much more of the Immortals’ attention is focused on natural creatures than on the fey.
Many fey resent this, and when a creature from story resents something, it can be a deep resentment indeed.