To me, Gandalf always seemed like a man who appeared to be a simple man, but was actually a serious, hard-working man. His visits to the Shire seem to be vacations of sorts to relieve his stress, until the Hobbit in which he has business there. In LOTR, as mentioned, he checked up on Frodo to see if he was being turned into a Gollum-like creature.
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"And forth went Morgoth, and he was halted by the elves. Then went Sauron, who was stopped by a dog and then aged men. Finally, there came the Witch-King, who destroyed Arnor, but nobody seems to remember that."
-A History of Villains
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