Gandalf was thought of (for those who didn't know any better) as an Elf, and it was said that he (as Olorin) would walk amongst them clothed in Elven fashion:
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But of Olorin that tale does not speak; for though he loved the Elves, he walked amon them unseen, or in form as one of them, and they did not know whence he came the fair visions or the promtings of his wisdom that he put into their hearts.~The Valaquenta
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I can see Gandalf travelling around to a lot of places, I doubt there was much time for him to sit and rest if he was to complete his task. As we see with Radagast and Saruman, who stray from their task and take up dwellings. Gandalf stays true to his mission and is all around Middle-earth directing resistance against Sauron, so I doubt there was much time for him to stay and dwell in one particular place. But, he took a liking to Hobbits and Elves, and so the Shire and Elf havens would be the most likely places, on Middle-earth that is.
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And eventhough if at first Olorin rather liked the Elves, he comes to love all the races of Middle-earth as he aids and interacts with all of those against Sauron.