which Tolkien develops for Incanus (a Quenyanised version of a Haradrim phrase meaning "north spy") suggests that Gandalf did go to Harad, but was not exactly well-received.  By the way, this name of his represents one of Tolkien's many double-etymologies: "incanus" means "grey" in Latin. 
     I take Gandalf at his word, when he says "To the East I go not."  So, that leaves Aragorn as the only character in the LotR who travels not just in the West and North, but also in the East and in the South (where the stars are strange).  Well, there's a reason why even Gandalf took advice from Aragorn in matters of wood-craft and such.

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All that is gold does not glitter,
Not all those who wander are lost;
The old that is strong does not wither,
Deep roots are not reached by the frost.
From the ashes a fire shall be woken,
A light from the shadows shall spring;
Renewed shall be blade that was broken,
The crownless again shall be king.