We analyze deep near-IR adaptive optics imaging (taken with NAOS/CONICA on the Very Large Telescope at the European Southern Observatory, Chile), as well as new proper-motion data of the nuclear star cluster of the Milky Way. The surface density distribution of faint (H ≤ 20, Ks ≤ 19) stars peaks within 02 of the black hole candidate Sgr A*. The radial density distribution of this stellar follows a power law of exponent α ~ 1.3-1.4. The K-band luminosity function of the overall nuclear stellar cluster (within 9'' of Sgr A*) resembles that of the large-scale Galactic bulge but shows an excess of stars at Ks≤ 14. It fits population synthesis models of an old, metal-rich stellar population with a contribution from young, early, and late-type stars at the bright end. In contrast, the cusp within ≤15 of Sgr A* appears to have a featureless luminosity function, suggesting that old, low-mass, horizontal-branch/red-clump stars are lacking. Likewise, there appear to be fewer late-type giants. The innermost cusp also contains a group of moderately bright, early-type stars that are tightly bound to the black hole. We interpret these results as evidence that the stellar properties change significantly from the outer cluster (≥a few arcseconds) to the dense innermost region around the black hole. We find that most of the massive early-type stars at distances of 1''-10'' from Sgr A* are located in two rotating and geometrically thin disks. These disks are inclined at large angles and counterrotate with respect to each other. Their stellar content is essentially the same, indicating that they formed at the same time. We conclude that of the possible formation scenarios for these massive stars the most probable one is that 5-8 million years ago two clouds fell into the center, collided, were shock compressed, and then formed two rotating (accretion) disks orbiting the central black hole. For the OB stars in the central arcsecond, on the other hand, a stellar merger is the most appealing explanation. These stars may thus be super-blue stragglers, formed and rejuvenated through mergers of lower mass stars in the very dense (≥108 M☉ pc-3) environment of the cusp. The collider model also accounts for the lack of giants within the central few arcseconds. The star closest to Sgr A* in 2002, S2, exhibits a 3.8 μm excess. We propose that the mid-IR emission comes either from the accretion flow around the black hole itself or from dust in the accretion flow that is heated by the ultraviolet emission of S2.