"...the language ... of Mordor, which I will not utter here."

 ‘I cannot read the fiery letters,’ said Frodo in a quavering voice. 

‘No,’ said Gandalf, ‘but I can. The letters are Elvish, of an ancient mode, but the language is that of Mordor, which I will not utter here. But this in the Common Tongue is what is said, close enough: 

One Ring to rule them all, One Ring to find them, 
One Ring to bring them all and in the darkness bind them.

(FR 1.ii.50)

From time to time someone will ask why Gandalf will not utter the Black Speech in Bag End, but will do so in Rivendell. I saw this just the other day. It's a reasonable question. Here's the passage from The Council of Elrond for comparison. 

Upon this very ring which you have here seen held aloft, round and unadorned, the letters that Isildur reported may still be read, if one has the strength of will to set the golden thing in the fire a while. That I have done, and this I have read: 

            Ash nazg durbatulûk, ash nazg gimbatul, ash nazg thrakatulûk
                                        agh burzum-ishi krimpatul.

The change in the wizard’s voice was astounding. Suddenly it became menacing, powerful, harsh as stone. A shadow seemed to pass over the high sun, and the porch for a moment grew dark. All trembled, and the Elves stopped their ears.

‘Never before has any voice dared to utter words of that tongue in Imladris, Gandalf the Grey,’ said Elrond, as the shadow passed and the company breathed once more.

(FR 2.ii.254)

Gandalf recites the enchantment in the Common Speech in Bag End. Nothing happens. Gandalf recites the enchantment in the Black Speech in Rivendell, the power of the Ring is invoked. The Elves don't just cover their ears because Gandalf has said some ugly words. His indiscretion is not social. He is not Gandalf the Gauche. He is Gandalf the Grey, a being of great power, calling upon the Ring of Sauron in a language it understands, as it were. A moment later he again recites the spell in the Common Speech. Again, nothing happens.

So, when Gandalf said to Frodo that he would "not utter [the language of Mordor] here," the word here does not mean here in the Shire. It means here in the presence of the Ring. He won't do it because he has an idea of what is going to happen. True, he doesn't want to frighten Frodo any more than he is already frightened. True, he doesn't want to risk drawing the attention of the Eye. The Shire is not safe enough. Rivendell is much safer than Hobbiton. Why does he do it at all? He is making a point and removing all doubt that this is in fact the One Ring.