Gandalf himself says something very important to Frodo ...
... in, I believe, FotR, Shadow of the Past, though it might be in Moria, after Frodo realises that the Fellowship has picked up a "footpad".
but first, @ Egvorlad:
Top shelf! That has to be the funniest bit I've encountered anywhere in these forums, and with an arrow right in the bulls-eye! Thank you for making the point with humour, rather than venom.
Back to topic:
Frodo laments, "What a pity that Bilbo did not kill [Gollum] when he had the chance."
Gandalf replies, "Pity? It was pity that stayed his hand ...", further suggesting that Bilbo survived his long possession of the Ring "unscathed" precisely because he had begun with this act of compassion.
I think Gandalf then follows with the memorable, "Many who live deserve death/ many who die deserve life" speech.