[Overtaxed]

I think that certainly he's worried about Gandalf but also that he would feel better and safer somehow if Gandalf were with him. Maybe it's some subconcious doubt about whether Strider could stand against or evade the Black Riders?

[Sam Cree]

he would feel better and safer somehow if Gandalf were with him

That's sure to be right.

Didn't you think, in the movie, that when they saw the black riders walking below the weathertop that they should have spotted them from farther away? In the book, I got the impression that they first noticed them at a much greater distance. It was a spooky and frightening image, though, of them all walking up.