Ok I seen the movies so many times but this just came in my mind last night . In the two towers gandalf returns in white but he is not wearing his hat ! why? The same thing happens in ROTK.
When Gandalf returned as the White he came back naked, unclothed like a newborn it was in Lorien from the lady Galadriel that he got the White Robes of the Highest I assume she did not think to make a hat for him.
I also would assume he wouldn't be in any hurry for a hat....knowing he has left the ring barer + 3 hobbits in the hands of strangers.
If I returned naked, I would make a point of NOT wanting a hat and a point of getting me some damn clothes.
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I doubt they wanted to waste time giving Gandalf a hat what with the dark Lord rising to power and slowly spreading his hand over Middle-earth as a dark cloud and all.