You can either understand the concept of the neutral wire mathematically or practically. Since I'm more of a practical guy,let's take a look at the bigger picture. There is no neutral wire coming from the generator nor in transmission systems. The neutral wire is only implemented at the distribution (4-wire systems) and reticulation (live and neutral.... And earth) end of the picture.
Why is this you may wonder. The reason is that at the generator and transmission level, the lines or conductors have near identical impedance (ideally identical) therefore, the voltage between each of the 3 lines are of the same magnitude but 120 degrees apart from each other in phase. At the distribution level, your loads are far from identical, in fact each time a consumer of electricity switches the light on, the entire impedance of the distribution network changes.
This means that without a neutral wire, the voltage accross each load and the voltage between phases would be different, which is not ideal for both the consumer and the electrical system as it results in an imbalance of the electrical distribution system. Loads with greater impedance would require a larger volt drop across them than loads with less impedance.
The effects of this can be devastating on equipment not designed to handle the changing of the supply voltage, not to mention, your lights would fluctuate between dim and the sun like a disco club. This is where the neutral wire comes into play. The neutral wire is connected at a common point to all three phases. Ideally at $0\,V$ e.g star configuration.
This ensures that if there is a difference between each phases load impedance, that the voltage is kept constant. Which is why you only have $220\,V$(RMS) and $110\,V$ (RMS) or other standard voltage levels. It's the electrical current that should always be made capable of fluctuating. With the neutral implemented, we get constant voltage accross any load(impedance) with varying current.
How does the neutral wire make this possible? Since the neutral wire is a potential between all three phases, each phase along with the neutral wire can form an independent circuit e.g your house, hence live and neutral. It is the role of the neutral wire to carry any current as a result of the imbalance in impedance of each of the phases loads. This results in the maintenance of a stable standard voltage rating. Remember that voltage is relative to another voltage level.
If $220\,V$ is high, neutral is on the other hand is low, which also means that, since there is this potential difference, an electrical circuit may be formed in the first place.
Now, to answer the question posed in this topic, the live wire that can be traced back all the way to the nearest transformer(s) whose phase wires can be traced back to the generator's stator winding all the way at the power station. Neutral is the wire tied at the low potential end between each phase, enabling the completion of a circuit and maintaining a stable voltage level.
Since the neutral wire completes and electrical circuit (in terms of alternating current) it carries the same current as the live or phase wire tracing back to the generator, however, it's potential to earth is nearly $0\,V$. The voltage between the phase wire to earth would be $220\,V$, so the phase wire would alternate current direction between maximum positive and maximum negative peaks of the AC cycle.
Do not touch even the neutral wire in a live circuit! There are numerous failure modes that could make you dead wrong about not getting shocked.
The neutral wire does have current going through it. However, we do not get shocked when we touch something with current going through it, we get shocked when current goes through us. In this case all of the current that enters one end of the section of wire we are touching also leaves the other end. None goes through us so we don’t get shocked.
Why does no current go through us? From the perspective of a circuit we are, to a first approximation, just a big human shaped resistor. The current through a resistor is proportional to the voltage across it. Since the neutral is at the same voltage as the ground, both our head and our feet are at 0 V. So the voltage across us is 0 V and therefore the current is 0 A.
Best Answer
This is really an Electrical Engineering but seeing as you and I are here I'll have a go with an answer.
It is pretty well universally true that any electrical socket outlet in a domestic property intended to be used to plug in a variety of consumer appliances will have 3 connections; Line(live), Neutral & Earth. It's becoming standard practice in electrical wiring installations to call the "hot" wire the "Line" now instead of the "Live" so I will stick to that so we can get used to it if you want to read further, e.g. Wiring Regulations Handbooks, etc.
The power for the appliance is supplied via the Line and Neutral connections. The current will, under no fault conditions, be the same. If a 10 Amp supply current is flowing through the Line conductor then 10 Amps is also flowing through the Neutral conductor (for that one socket/appliance).
The purpose of the third connection, the Earth conductor, is ONLY for safety. Specifically to reduce or eliminate the possibility of a harmful electric shock AND the possibility of an electrically ignited fire. Many domestic electrical appliances have a case made of metal, this includes items like a convector heater, a fridge, a microwave oven and so on. The case is metal for structural/design reasons (not electrical reasons). For example a plastic cased convector heater might be a very silly and dangerous idea (think about it !). IF we have a metal case it is possible, in the event of an internal fault, for the case to become electrically live and thus impart an electric shock, possibly fatal, to anyone touching it. We therefore connect the metal case to the earth wire of the socket using one separate core of the 3 core flex. The appliance is then "earthed".
Consider now what happens with a faulty appliance. Some electrical current due to the internal fault can flow through the earth wire of the electrical installation back to the source (e.g. if earth and neutral are connected at substation as you say). We can detect this current in the earth wire as a "fault condition" and trip the circuit thus removing the supply and alerting the user to the possibility of a fault. In modern type installations which include an Earth Leakage Circuit Breaker (aka RCD or RCCD) the detection of earth fault current flowing in the earth wire is very fast (< 40mS).
You should under no circumstances attempt to connect a load of any kind between a line conductor and an earth conductor. Neither should you attempt to connect a bulb or anything else across the neutral and earth conductor. In fact it can be dangerous to even use a cheap multimeter to measure voltages on your domestic electrical installation wires (they are not rated for the impulse voltages that may appear on the mains sometimes). By all means read about domestic electrical wiring systems but do not experiment on them ! I once saw someone attempt to measure the internal resistance of the mains using an AVO on the low ohms range while I was in school in the physics lab. The results were not pretty, luckily it was only the AVO that was an irrepaiable heap of black gunge not the human involved. He had a lucky escape.