They also shot scenes of Gandalf finding a palantir in Dol Guldor. He touches it and it shows him what would happen if Smaug and Sauron teamed up. He was supposed to see Smaug leading legions of orcs across a wasted and burning Middle Earth. Too bad that never made it into the film. I'd love to have seen that vision.
There is some concept art of the vision shown in the "Dol Guldor: The Hill of Sorcery" documentary on the second special features disc.
The palantir can still be seen in the film tho. You can see it when Galadriel is holding Gandalf at the base of that broken statue when Sauron is taunting Galadriel. The camera pulls back and the statue is holding the Palantir in its raised hand.
Also after the Battle of Dul Goldur Gandalf was supposed to pursue Sauron to the Sea of Rhûn in the Far East. On the edge of the dried up Sea he would see a massive rock structure out in the distance and at the top would be a Seeing Seat like the one at Amon Hen. Gandalf was going to chase Sauron up this giant rock structure. And at the top Sauron would disappear.
They shot some bits of Gandalf on horseback riding in pursuit of Sauron, but the rest was only prevised before being cut. The only shot that made it into the film is the one of Gandalf riding across a dried up plain. In the finished film he is heading to Erebor, but originally that was shot as part of his journey to Rhûn.
This stuff makes me wish Jackson would have just done two Hobbit films and a bridge film that would have been about Gandalf's investigation into the Necromancer and the White Councils siege of Dul Goldur and the pursuit of Sauron into the Far East.
Pete says in the Erebor documentary the he has warehouses full of art, props, and set pieces that he couldn't bear to see destroyed. The documentary shows a glimpse of one of the warehouses and it's just shelves loaded with bits and bobs and set pieces. He said there isn't any current plans to showcase the stuff but it could be done one day. That's so cool that he took the initiative to save all the hard work of the artists. He's like a steward protecting all the work of his crews.