I read an interview with Peter Jackson where he said he preferred Gandalf the Grey to Gandalf the White because he would blow smoke rings etc etc but he also mentioned he sleeps under hedgerows. I absolutely love this concept, as it nails Gandalf's peasant folklore quality. I couldn't find any references to it on google though, so I thought I'd ask here.
I could find no text that directly supports the assertion that Gandalf "slept under hedgerows", whether in the Shire or anywhere else. It also strikes me as being somewhat uncharacteristic of him. I would assume Peter Jackson confused Gandalf with Aragorn.
Most of the following is speculation and personal opinion.
Gandalf's early travels
Gandalf did travel a lot all around the Northwestern area of Middle-earth. During these travels, he would have had to sleep in the wild, perhaps using some sort of temporary shelter that he either built or carried with him. This is especially true for the first thousand years after his arrival in Middle-earth:
Mostly he journeyed unwearingly on foot, leaning on a staff; and so he was called among Men of the North Gandalf, "the Elf of the Wand". [...] He is seldom mentioned in any annals or records during the second millennium of the Third Age. Probably he wandered long (in various guises), engaged not in deeds an events but in exploring the hearts of Elves and Men who had been and might still be expected to be opposed to Sauron.
Christopher Tolkien also says this, while discussing Gandalf's various names:
But the southern regions in touch with Gondor (and called by men of Gondor simply Harad "South", Near or Far) were probably both more convertible to the "Resistance," and also places where Sauron was most busy in the Third Age, since it was a source to him of man-power most readily used against Gondor. Into these regions Gandalf may well have journeyed in the earlier days of his labours.
It seems likely to me that he would have slept at least once under a hedgerow, but it is alas never mentioned.
However, once Gandalf started being more active in the North, he would have stayed in towns and cities, especially in inns. The chance-meeting, as we say in Middle-earth, with Thorin Oakenshield was in Bree1:
On a time Thorin, returning west from a journey, stayed at Bree for the night. There Gandalf was also. He was on his way to the Shire, which he had not visited for some twenty years. He was weary, and thought to rest there for a while.
Gandalf also says this:
"Those were my dark thoughts as I jogged along the road. I was tired, and I was going to the Shire for a short rest, after being away from it for more than twenty years."
He probably wasn't thinking of hedges at this point.
There are many other mentions of Gandalf spending nights inside and it would seem that he does so whenever he can, such as in Bree while chasing Frodo & Co. ("Now I can take a night’s rest, the first since I have forgotten when.")
Therefore, it seems likely to me that Peter Jackson is confusing Aragorn's lifestyle with Gandalf's. Aragorn, and Rangers in general, are much more likely to stay outside of cities, preferring the cover of wilderness.
Lonely men are we, Rangers of the wild, hunters – but hunters ever of the servants of the Enemy; for they are found in many places, not in Mordor only.
There is also a quote specifically about Aragorn and hedges:
[...] I have hunted many wild and wary things and I can usually avoid being seen, if I wish. Now, I was behind the hedge this evening on the Road west of Bree, when four hobbits came out of the Downlands. [...] That interested me so much that I followed them here. I slipped over the gate just behind them.
This may be what Jackson had in mind when talking of Gandalf and hedgerows.
Gandalf's "peasant folklore quality"
Gandalf never struck me as being the kind of person to sleep under hedgerows, unless he had no other choice. Although he never had any sort of permanent home, he was fond of people in general and would strive to stay in close proximity whenever possible, helping those in needs.
In contrast with Aragorn, he never stayed hidden. He never elaborated much on his origins, but he was a mover of things, great and small. To accomplish this, he had to be in contact with the major political players of the time as well as the most powerful Elves, such as Elrond, Círdan and Galadriel. Although he did have to walk or ride between various locations, I see no reason for him to stay in the wilderness if there was an inn nearby.
Aragorn, however, I would imagine would stay hidden in bushes, protecting the little people, but never revealing himself:
Peace and freedom, do you say? The North would have known them little but for us. Fear would have destroyed them. But when dark things come from the houseless hills, or creep from sunless woods, they fly from us. What roads would any dare to tread, what safety would there be in quiet lands, or in the homes of simple men at night, if the Dúnedain were asleep, or were all gone into the grave?
And yet less thanks have we than you. Travellers scowl at us, and countrymen give us scornful names. "Strider" I am to one fat man who lives within a day’s march of foes that would freeze his heart, or lay his little town in ruin, if he were not guarded ceaselessly. Yet we would not have it otherwise.
If simple folk are free from care and fear, simple they will be, and we must be secret to keep them so. That has been the task of my kindred, while the years have lengthened and the grass has grown.
1 There is a discrepancy between Appendix A (III) of The Lord of the Rings and Unfinished Tales: the latter has Gandalf and Thorin meeting on the road near Bree, not at the inn. It is unclear which version is the correct one.