Rhod the red, I'm afraid I have to disagree with you in this. Gandalf
does change. He is somehow more distant and more god-like, and therefore less like an individual character.
I think I would have enjoyed LotR more if Gandalf had died. It would in my opinion make the story somehow deeper by making the readers understand that there is no second chance. War against evil (if you want to put it like that; I myself prefer not to use that rather idiotic phrase) takes its casualities, and in war both heroes and ordinary soldiers die. The death of Gandalf would have been a perfect example of this.
Had Tolkien originally meant Gandalf to die or not, it still seems like he hadn't. The way Gandalf just appears with a "hello, I didn't die after all, nice to meet you" feels rather improper. But then again, I am a tragedy-loving person so I might not be the best one to comment on this topic.