Broadly speaking the monument is made up of two stone types. Sarsens and Bluestones.

The Sarsen stones, the Heel Stone, the stones of the outer Sarsen circle and the central Trilithons, are 'local' to the area. These hard sandstone stones were transported from the Marlborough Downs; about twenty miles to the north-east of Salisbury Plain.

There is a bluestone circle inside the outer sarsen circle and a bluestone horseshoe inside the trilithons. Originally they may have comprised as many as eighty Bluestones, weighing up to five tons each.

The Bluestones have tended to be overshadowed by their larger neighbours.

Stonehenge is not the first site where the bluestones stood as a circle. The stones show evidence of having been erected somewhere else previously.

Before their erection at Stonehenge these stones comprised a sacred circle. Robert Graves said this sacred circle was transported to Stonehenge for it's religious significance; in the words of Professor Rhys ' the stones were regarded as divine or as seats of divine power'. 

The bluestones are not local to the area of Stonehenge; so where did the bluestones originate?

The frequently maligned early historian Geoffrey of Monmouth, in his  'History of the kings of Britain' written around 1139AD, wrote

download the History of the kings of Britain in .pdf format

However Geological analysis in relatively recent times has shown that the bluestones at Stonehenge came from somewhere in the Preseli mountains in Pembrokeshire, Southwest Wales. The Preseli mountains lie in that part of westernmost Britain in an area settled by the Irish and sometimes referred to as Ireland in Geoffrey's time (More on this here)

So Geoffrey was not wrong about where the stones came from;

but what about the rest? Stonehenge had already stood for millenia by the time of Ambrosius. (More on this here)

 Did Geoffrey attribute the movement of the stones across great distances to Merlin's magic because he truly believed that or was he just saying he didn't really know how they'd been moved.

"Any sufficiently advanced technology is indistinguishable from magic" - Arthur C. Clarke

The use of 'It must have been magic' can be as much an expression of ignorance as it is of superstition. It's a term still used to refer to something not understood, inexplicable.

The extent of our knowledge on the subject is well summed up by Julian Richards in his book  'Stonehenge.' "Human transport, despite the distances and effort required, still seems a more reasonable concept."

Several hundred years later, despite all the advances in science, we still don't know how the stones were transported.

Until the advent of the railways transport by water was the only way to effectively move large heavy objects over long distances.

(read more on water vs land transportation)

It's likely that much of the transportation of the bluestones from the Preseli Mtns. to Stonehenge was by water. First by river, then along/across the Bristol Channel/Severn Estuary, then lastly by river(s) to Stonehenge; and while we can't be certain which rivers were used we can be certain that in their passage across the Bristol Channel/Severn Estuary the bluestones would have been carried past Lundy Island.