Gandalf's quote is from The Two Towers

THE TRUTH COMES OUT

“Oh Gandalf,” Frodo sighed, sitting up in bed. “I thought you were dead! We really needed you in Mordor. How I wish you’d been with us.”

“With you?” the White Wizard asked, puzzled. “But my dear boy, you always knew I wouldn’t be going east with you.”

“What?” Frodo cried out. “How would I have known that?”

Gandalf smiled indulgently. “Don’t you remember? As I told you once, 'Many are my names in many countries. Mithrandir among the Elves, Tharkûn to the Dwarves; Olórin 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’.'"

“You never told me that,” Frodo frowned. “Faramir did, when Sam and I were in Ithilien.”

“Oh. Well, I meant to tell you,” Gandalf said airily. “My goodness, the East is – or was -- full of all kinds of awful creatures and dark spells; there was no need for me to expose myself to such dangers. I’m an important wizard, you know. Besides, there was Aragorn to guide you, Legolas and Gimli to protect you, your fellow hobbits to--”

“Are you telling me,” Frodo said slowly, “that you never intended to go with me to Mordor? Even from the beginning? And what about that whole Balrog incident?” He got to his feet, his eyes blazing. “How convenient.”

“It was, wasn’t it? What I mean is...” Gandalf began backing away from Frodo. “Here now, there’s no need to get so upset, dear boy. Everything worked out well in the end, didn’t it?”

“Where’s that sword?” Frodo muttered, looking around the room.

“Here you go, Mr. Frodo,” Sam said calmly. He stood in the doorway, Sting in his hand. He tossed it to Frodo and smiled, pulling the door closed again. “I’ll just leave you two alone, shall I?”