Book III, Chapter 5 — The White Rider:
«“Gandalf,” the old man repeated, as if recalling from old memory a long disused word. “Yes, that was the name. I was Gandalf”».
«“'Yes, you may still call me Gandalf,' he said”».

Book IV, Chapter 5 — The Window on the West:
«“The Grey Pilgrim?” said Frodo. “Had he a name?”
“Mithrandir we called him in elf-fashion,” said Faramir, “and he was content. Many are my names in many countries, he said. Mithrandir among the Elves, Tharkun to the Dwarves; Olorin I was in my youth in the West that is forgotten, in the South Incanus, in the North Gandalf; to the East I go not”».