This card may be free, but outside of the threat increase, there is another hidden cost : to the difference of Sneak Attack or Reinforcements, the allies do not come back in hand, so you loose a card in the process.

If you are playing with Vilya (or Gandalf without Wizard Pipe), this can be a solution to shuffle back an ally that you couldn't play directly. It can also save a card from Erestor forced discard (the event having 0 cost beeing easy to play), but usually you prefer to keep your cards in hand.

Of course, you can also get away with it : a free Gandalf is still worth for example.

Synergies

Saruman's Staff can mitigate the threat cost, so Saruman can use this card as a super sneak attack to ready him.

Rohan have a lot of discarding abilities that you can use without fear on a 0-cost ally (for example Háma or Helm! Helm! if you really like exclamation marks). The Horn of the Mark can also give you a card after the ally has left play. And playing Rohan is totally thematic with the card.

Horns! Horns! Horns! can also find a use in a silvan deck ; bringing a Rúmil to destroy an ennemy [as NERD pointed out, doesn't work but you can still use another] silvan ally with an "enter play" effect before bouncing it back in hand (with The Elvenking or an event like Island Amid Perils).

Other interesting allies are eagles (use Meneldor or Descendant of Thorondor to remove an ennemy or a location before readying Gwaihir and/or buffing Eagles of the Misty Mountains) or beornings (you can trigger Beorn or Giant Bear for a powered combat phase).

The effects of this card scale well in multiplayer, just remember that not everyone can play Gandalf at the same time.