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.
__________________ Yet the making of things is in my heart from my own making by thee; and the child of little understanding that makes a play of the deeds of his father may do so without without thought of mockery, but because he is the son of his father.
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.
__________________
"In the year of our Lord 1314, patriots of Scotland, starving and outnumbered, charged the fields at Bannockburn. They fought like warrior poets. They fought like Scotsmen. And won their freedom."
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.