Frodo and Sam do take Gandalf's opinion very, very seriously. If they know it or can guess it, they do their best to perform it. It's as if they understand that he Knows What Should Be, most of the time. They trust him a great deal.
If one considers Gandalf as either a prophet or an angelic power (Maia/Vala...) then perhaps the concept to obedience to the divine will is not so far removed as one might think. The common view of angels is, messengers from the Lord, whose job it is to communicate the commands of the Lord.
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...down to the water to see the elves dance and sing upon the midsummer's eve.
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