Good points, all of you. Thanks for your opinions!
However, what I wanted to say in my last post is that Gandalf was afraid
for himself, which is, I think, the only time in LOTR and TH when that happens. He can be afraid for others, for missions, for many different things, bu I've always imagined him to be this kind of person who doesn't feel fear for himself. And I don't mean stuff that involves the Ring, because Gandalf is afraid of
how the Ring could make him evil, and what that would do to others.
Aiwendil has an interesting explanation for that - that accepting human form forces you to accept human weaknesses and limitations, if I understood it correctly. However, I think that the human form only affected the physical (more or less) part of him, and not the mental (or psycological). Taking a form is like putting on clothes for the ainur, and clothes don't usually affect the way you think and feel. Of course, this is up to speculation, and I guess it depends on your personal opinion.