"I wish it need not have happened in my time," said Frodo.
"So do I," said Gandalf, "and so do all who live to see such times. But that is not for them to decide. All we have to decide is what to do with the time that is given us."
Gandalf is around two thousand years old at that point. What he might call "my time" has been very different from most other people's. He has seen kingdoms rise and fall, forests grow and wither, cities built and deserted many times over. Yet he has this peculiar ability to relate to and sympathize with the mere mortals around him, conferring to them bits and pieces of the wisdom he's gained over all those years. When he says "So do I," he is not faking sympathy. He really is down-to-(Middle-)Earth and knows how ordinary people feel.
There is a letter Tolkien wrote to a fan where he says:
"My ‘Sam Gamgee’ is indeed a reflexion of the English soldier, of the privates and batmen I knew in the 1914 war, and recognized as so far superior to myself."
"So do I," said Gandalf, "and so do all who live to see such times. But that is not for them to decide. All we have to decide is what to do with the time that is given us."