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The other Maia (Sauron and Saurman) had no trouble cheating in order to win Middle Earth and didn't get hit with bolts of lightning, so why didn't Gandalf go full-out like they did?

Sauron and Saurman almost won. The outcome was essentially balanced on the edge of a knife.

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    Sauron wasn’t bound by the Middle-Earth limitations that the Istari were, so he wasn’t really ‘cheating’ at all. He was quite rogue. Saruman broke the limitations he was under; he just switched sides. Granted, creating an Uruk-Hai army and sending it off to war is getting a bit more directly involved than the Istari were meant to be, but not significantly more so than Gandalf battling a Balrog, for instance. Feb 21, 2016 at 19:53
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    @JanusBahsJacquet It was very different. Gandalf exposed his power to defeat a supernatural enemy of the Old World, something beyond almost anyone left in Middle-earth. Saruman raised an army and tried to conquer the kingdoms of Men. Significantly different uses of power Feb 21, 2016 at 19:56
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    How well did Sauron and Saurman turn out? Not just their empires, but they themselves? Not just that they were defeated, but what kind of beings did they become? That's your answer.
    – Wayne
    Feb 21, 2016 at 20:59
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    It's fair to say Sauron wasn't subject to the rules, but Saruman certainly was. He literally got fired for his antics. Gandalf was already promoted to Saruman's position by the time they all had their yell-off at Orthanc.
    – Misha R
    Feb 21, 2016 at 22:25
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    Notice that the cheaters didn't win. Gandalf did. There could be an in-universe reason for that. Just because the cheaters weren't hit by bolts of lightning doesn't mean there weren't other consequences that might have been more subtle. Feb 23, 2016 at 19:04

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Gandalf himself answers this (albeit obliquely) in the Council of Elrond:

[I]t is not our part here to take thought only for a season, or for a few lives of Men, or for a passing age of the world. We should seek a final end of this menace

Fellowship of the Ring Book II Chapter 2: "The Council of Elrond"

Gandalf could have broken the Rules, but that would only have been a temporary solution that would have caused problems down the road; it's worth remembering why the Valar insisted on these restrictions for the Istari:

[T]his the Valar did, desiring to amend the errors of old, especially that they had attempted to guard and seclude the Eldar by their own might and glory fully revealed

Unfinished Tales Part 4 Chapter 2: "The Istari"

Sure, he may have won the battle for the Free Peoples, but he would have postponed the end of the War.

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