Who better to ask than the professor himself, here he is reading the opening to the Fellowship of the Ring. At 00:23 he says "'No' said Gandalf..."
Tolkien seems to pronounce it as most would expect (or at least as always seemed obvious to me), "gand" as in gander and "alf" as in Alfred or alpha. However, Tolkien seems to split the two syllables as "gan" and "dalf", with the syllable break on the 'd' as opposed to the 'a'.
According to the UK IPA (taken from the words Gander and alpha) it would be something like /’ɡæn.dælf/ (Source for lettering from here)
Similarly, this clip from an interview with Sir Christopher Lee (who had met with Tolkien) shows that he pronounces it the same.
Wikipedia claims the IPA to be /ˈɡændɑːlf/, however this seems to be taken from Appendix E - "Writing and Spelling". Which people have identified as not necessarily being accurate because they refer mostly to the ancient scripts as opposed to Westron. However from there it would suggest the following pronunciation:
“has only the sound of g in give, get”
NB: The below has been amended due to a massive oversight by myself and the help from @Emil in the comments.
For the vowels they would've been pronounced as the 'a' in
machine father which wikitionary suggest is an /ə/ /ɑ/ (note these are still purely for Sindarin names):
That is, the sounds were approximately those represented by i, e, a, o, u in English machine, were, father, for, brute, irrespective of quantity.
As for the "L"
represents more or less the sound of English initial l, as in let.
The suggestion for "F" has been proven wrong by Tolkien as well as Sir Christopher and most other accounts.
represents f, except at the end of words, where it is used to represent the sound of v (as in English of): Nindalf, Fladrif.