Another intriguing topic,
Ancalagon'sFire! (Btw, is there any specific way you'd prefer your name to be shortened? It takes so long to type!) You might like to have a look at
this thread for some controversial opinions on what exactly happened to the Istari when they died. Personally, I still hold with the idea that Gandalf experienced something at least very similar to the fate of Men; at the time there were some good arguments to the contrary (i.e. that he was merely 'uncloaked'
and returned to Aman to be sent back by the Valar), but I'd be interested in seeing another angle on the question.