So I'm reading through the trilogy again and I get to where Gandalf is recounting his capture by Saruman at Isengard during the Council of Elrond:

'He was cold now and perilous. "Yes," he said. " I did not expect you to show wisdom, even in your own behalf; but I gave you the choice of aiding me willingly and saving yourself much trouble and pain. The third choice is to stay here until the end."
"Until what end?"
"Until you reveal to me where the One may be found. I may find means to persuade you. Or until it is found in your despite, and the Ruler has time to turn to lighter matters: to devise, say, a fitting reward for the hindrance and insolance of Gandalf the Grey."
"That may not prove to be one of the lighter matters," said I. He laughed at me, for my words were empty, and he knew it.
They took me and they sat me alone on the pnnacle of Orthanc, in the place where Saruman was accustomed to watch the stars.
So was it just that easy? I know the wizard smackdown in the movie was well, the movie. But it seems Gandalf has been in some tight spots before, and managed to get out of them. I didn't expect him to go toe to toe with Saruman, but it seems that he could have tried to get away. Just seems like the situation with Frodo would at least encourage Gandalf to give it a shot.

So what do y'all think? Maybe Gandalf has good reason not to attempt escape?