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For Gandalf that is never stated as a clear fact, but in addition to passages refered to above, we have the scene in the Hobbit were Gandalf seems to know from the start that Bilbo did not tell the dwarves the whole story how he had eluded Balin the outlook when he came up at their camp-fire after the Orc-tunnles. And we have the scene in Imladris where Gandalf looks at Frodo after his wounding at Weathertop and sees more then plain looking Sam. And later he explains Frodos own expirience during his near to ghost state at the ford of Bruinnen, in a way that suggest that he does know what he is talking about.
An additional evidence is Tom Bombadil who could see Frodo plainly when he wore the Ring. But it is a weak one since it can be contested if Bombadil was being of the same order as Gandalf the Grey.
Respectfully
Findegil
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