Don't rely on the movies, they're a perversion of the books at many levels.
Gandalf is an anomaly in that he chose not to use his power as a weapon more often than not (indeed I believe his main power, being knowledge and wisdom, is not in itself capable of being a weapon, can only help others create or employ weapons).
Same with Galadriel.
It is therefore impossible to say who is "more powerful" on an individual level, as the powers of the main entities are so different in nature and are thus used differently.
The Witch-king was himself a mere servant of Sauron, yet (especially without the One) Sauron was diminished and could not achieve much of anything outside of his own dominion without having such servants at his disposal.
Galadriel is in a way similar, in that she uses her power exclusively to protect and preserve her own domain of Lórien, and if I remember correctly indeed states that her power is limited to its borders (though this may be by choice rather than actual restrictions).
We see Gandalf singlehandedly taking on and defeating the Balrog, alas at the price of his own death. (From which he is resurrected, something unique in the trilogy. Even Morgoth did not manage that and he was the most powerful single entity of the second age, to whom Sauron was a mere servant.) That feat shows he is certainly on an individual level extremely powerful, yet he apparently only uses that power in self defense or in direct aid to his immediate companions. Probably this unwillingness by Gandalf, Galadriel, and others on the "good side" comes from the old adage "power corrupts", as is hinted at in several places in the books.
Sauron, the Witch-king, and after his corruption (that word again) Saruman have no such qualms of course though Saruman apparently does prefer to act through his minions rather than in person, as does even Sauron (with him however this is mostly through his lack of form, caused by the loss of the One).
On an individual level therefore, comparison of "power" is useless if not impossible, the powers are too diverse and employed differently.