The most detailed description that Tolkien gives of Gandalf is, of course, in The Hobbit: there Bilbo sees "an old man with a staff. He had a tall pointed blue hat, a long grey cloak, a silver scarf over which his long white beard hung down below his waist, and immense black boots." Years later, in response to an illustration that Pauline Baynes did for a poster, Tolkien wrote a more particular analysis in an unpublished essay (quoted in John D Rateliff's The History of The Hobbit): Gandalf was "a figure strongly built with broad shoulder, though shorter than the average of men and now stooped with age, leaning on a thick rough-cut staff as he trudged along...Gandalf's hat was wide-brimmed (a shady hat, H. p. 14) with a pointed conical crown, and it was blue; he wore a long grey cloak, but this would not reach much below his knees. It was an elven silver-grey hue, though tarnished by wear--as is evident by the general use of grey in the book...But his colors were always white, silver-grey, and blue--except for the boots he wore when walking in the wild...Gandalf even bent must have been at least 5 ft. 6...Which would make him a short man even in modern England, especially with the reduction of a bent back." In the LOTR, in the chapter "Many Meetings," Frodo sees Gandalf as "shorter in stature than the other two [Elrond and Glorfindel]; but his long white hair, his sweeping silver beard, and his broad shoulders, made him look like some wise king of ancient legend. In his aged face under snowy white brows his dark eyes were set like coals that could leap suddenly into fire." So Gandalf is described as an altogether shorter and sturdier figure than the rather wiry, weedy wizard some illustrators seem to favor. Details of the hat and the staff clear up certain questions: the staff being rough-cut, not crafted, seems to indicate that any stick would do for a staff, rather than some ceremonial specially prepared rod.
The first Gandalf shown here is from David Wenzel's graphic novel adaptation of The Hobbit. Here we see an interesting detail that many illustrators have added or deduced; a travelling pouch that the wizard can keep his bits of things in, like pipe and tobacco, or keys and maps. One wonders if Gandalf toted Thror's Map along with him for 90 years or so, and if he was ever tempted on a cold wet evening to use it to light his pipe!
The second Gandalf is by Judy King Reineitz, and shows Gandalf testing the Ring in the fireplace at Bag End. Here he is much more depicted as the ennobled figure of LOTR, somehow taller and more serious.
The third Gandalf is by Joseph Zucker, from the cover of The Tolkien Companion. Zucker did some design work for the Birthday Party sequence of Ralph Bakshi's version of LOTR. Here too Gandalf has a pouch, a detail added also in Peter Jackson's movies.
The fourth Gandalf by Michael Hague shows Gandalf much more like the "little old man" as he is called in The Hobbit; closer in size to the dwarves and Bilbo rather than the men and elves in Hague's illustrations. His hat seems to be made on a monumental scale.
The fifth Gandalf is by Pauline Baynes, from Bilbo's Last Song. Here she follows to the letter Tolkien's detailed description; perhaps in a bit of waggish revenge she even gives Gandalf the enormous eyebrows sticking out beyond the brim of his hat! God help her with two such terrible sticklers as C. S. Lewis and JRRT; she must have felt quite like Pippin between Gandalf and Denethor sometimes, although on the whole they loved her work.
There are many more Gandalfs, of course, but here I shall have to leave the subject. I hope I have given a good sampling of the history of his iconography, with examples both famous and obscure. Ian McKellan's portrayal has come to dominate the field, as any search on Google Image will attest, but I am sure artists will continue in the future to produce their own interpretations for their own times and styles, and they shall be as varied as ever they were in the past.