The way Gandalf appears in this clip (at 1:01 minutes) is one of my all-time favorite character appearances. It’s an animation - they could have just had him materialize out of thin air - but instead, as the smoke signals fade into the background, Gandalf dashes out from behind a tree, which adds a sense of authenticity to his magic. It got me thinking that nothing really appears - in real life, it is all about the way that something comes into view.
Think about a magician using sleight of hand to produce a coin. If the coin is slowly pushed into view it seems magical, especially if we assumed the hand was empty. No one would assume Gandalf would wait all day behind a tree to create magic for Bilbo, but he could have been, just to make that magical greeting. Consider childbirth - you didn’t just appear in this world in a poof! Every day you see different people, and at some point they appear to you, either from behind a door, wall, horizon, etc. They are sliding into your frame of vision.
If a little smoke appeared before someone walked in, then you’d have a magical appearance. It's all about the style and expectation. It does get complicated, though. When you deal with dreams and computers, things seem like they can just materialize out of thin air, but in our reality, does anything actually just appear?