So I just re-watched Return of the King this week (the theatrical version, naturally), and was struck by how nonplussed Merry and Pippin were at seeing Gandalf. As far as they know, isn't he still dead? Or did Treebeard hear about his return and tell them in between movies?

Hadn't thought of that, but you're right! He should totally spazz out! Or maybe he just figured he was in Elysium or wherever, and if Gandalf was there too it couldn't be too bad.