It\'s part of GW\'s \"Battle at Khazad Dum\" encounter set. The set comes with that model of Gandalf and a Balrog model. You can find it Here Not a cheep set by the way, $50 US, man-oh-man.
I was about to say GW US is now launching a bits service in March for all the LOTR figures and parts. So you should now beable to order him as a seperate piece.