Mithadan is correct in his synopses. In addition,
Unfinished Tales indicates that the Istari travelled a great deal at first, and that Saruman went with the Blue Wizards far to the East (it is conjectured in the
U.T. that Allatar and Pallando might have went East and remained there as emissaries of Orome, as he was the furthest travelled of all the Valar).
We can guess that Gandalf, too, travelled quite a bit, given his different names: Mithrandir by the Elves, Gandalf in Westron, Tharkun by the Dwarves, and Icanus to the South (Haradrim meaning "North-spy") -- indicating he had at least passed south of Gondor and into Harad. But Gandalf also gave the proviso, "To the east I go not," and
U.T. states, "Beyond Nurnen Gandalf had never gone."
And although the Istari may not have been familiar with the geography of Middle-earth in the 3rd Age, Gandalf, both in spirit and corporeal form, had been to Beleriand in the very early stages of the 1st Age:
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...he [Gandalf] loved the Elves, he walked among them unseen, or in the form of one of them, and they did not know whence came the fair visions or the promptings of wisdom that he put into their hearts.
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