Gandalf has several names, depending on the language of those he is dealing with:
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Gandalf is called Mithrandir by the elves which means 'Grey-Pilgrim' or 'Grey-Wanderer'.
Gandalf was known by different names to different peoples: Gandalf to Northern men, Mithrandir to the elves and Dunedain (as in Gondor), and Tharkun to the Dwarves. Olorin was his true name as a Maia.
His known names, usually given to him by various peoples: -Gandalf ("Elf of the Wand", though he is not an elf) by various peoples. Titled as "Gandalf the Grey" and "Greyhame" or later "Gandalf the White". -Mithrandir (Sindarin "Grey Pilgrim", "Grey Wanderer") from the Elves, also used by the Men of Gondor. -Tharkûn, from the Dwarves. -Incánus, from somewhere in the South. -Olórin, which he was called in the West in Aman. He has also been called various other things, some of therm derogatory, although they are not used as proper names.
To my knowledge there is not anyone who said those words, though Gandalf said "You shall not pass" in the first movie "The Fellowship of the Ring" while attempting to defeat the Balrog in Moria. The Black Knight in Monty Python and the Search for the Holy Grail uses that phrase.
Frodo knows Gandalf because Gandalf was like Bilbo (Frodo's grand-uncle) guardian on Bilbo's adventures. Now, Frodo knows Gandalf through Bilbo.