Yeah.. that's not good enough for me. I require logic. lol
Gandalf, and all the other Istari (eg: Saruman), are Maia spirits who inhabit the bodies of mortals and are thus ultimately limited by them (with exception maybe of age), despite their immense magical potential. Sauron was also a Maia. As others have noted what Gandalf fears is the One Ring's corruptive abilities, which speaks less about Gandalf's limitations and more about how powerful the ring is supposed to be. Sauron's very spirit and essence embody the ring, and the reoccurring motif is that the ring simply cannot, fundamentally by its form, ever be truly controlled. And nobody is immune to its ever subtle manipulative and corruptive powers.
As others have said, Gandalf being corrupted by the One Ring would ultimate amount to Sauron 2.0; an avatar of unbelievable power totally corrupted by Sauron's will. So for him it's absolutely not worth the risk, as he can feel the unavoidable corrupting surging through it.
The other factor, more thematically, is the role the Maia play in the creation and function of Arda. They are there, more than anything, to guide and aid in shaping its destiny, which is both kinda written but also not, as per the will of Eru. Gandalf is there to inspire good will and hope in men, to lead them into an age that will belong to them.
About the whole "the ring corrupting him" thing, it is rather confusing that that's such a big point about the actual ring, yet at the very beginning of the story Gandalf just casually takes the ring from Frodo to throw it into the fire.
At least in the movies, Jackson had him throw it in the fire still in the envelope and only handle it with the fire tongs so he never actually touched it.
It's not necessarily instantaneously corruptive. Like you don't immediately touch it and instantly fall to its will. It's more a case of the more time you spend with it the deeper its subtle corruptive roots dig into you.
