I was under the impression that there were very few of the original elves left in ME. For example Cirdan and Galdriel. I also thought that even these two great elves only had an inkling of who Gandalf and the rest of the Istari were.
I think he never talked about his past to anyone as he was not allowed by the Lords of the West to reveal who he was. He was meant to unite them without using his full powers as Maier.
Word would quickly spread of a great Lord from over the sea coming to help the peoples of ME in their time of need. Sauron may have made war quicker thus preventing any hope of destroying the ring.
Of course much is said about Gandalf and his History in the Silmarillion and Unfinished Tales. Both really good reads providing more info on Gandalf.
Encyclopaedia of Arda
This site has tons of info that you may enjoy
[ June 10, 2003: Message edited by: Aule ]