A Balrog (Sindarin for "Demon of Might"; the Quenya form is Valarauko) was a tall, menacing creature, made equally of fire and shadow, with a fiery whip of many thongs. They induced great terror in friends and foes alike and could shroud themselves in darkness and shadow. Gandalf struggled with a Balrog while the Fellowship of the Ring escaped Moria in the The Lord of the Rings (in book II of The Fellowship of the Ring).
The Balrogs were originally Maiar, of the same order as Sauron and Gandalf, but they became seduced by Morgoth. Morgoth corrupted them to his service in the days of his splendour before the coming of the Elves. During the First Age, they were among the most feared of Morgoth's forces. When his fortress of Utumno was destroyed by the Valar, many were destroyed, but some fled and lurked in the pits of Angband or escaped across the Blue mountains to Middle-earth. In the third age the Dwarves of Khazad-dûm awakened a Balrog while mining for Mithril and were cast out.
The Balrogs were first encountered by the Elves during the Dagor-nuin-Giliath in the First Age. After the great victory of the Noldor over Morgoth's Orcs, Fëanor pressed on towards Angband, but the Balrogs came against him. He was mortally wounded by Gothmog, Lord of Balrogs. Though his sons beat off the demons of fire, FŽanor died of his wounds soon after, and his spirit departed for the Halls of Mandos.
Balrogs have been very elusive since the First Age; if Sauron had any in his service during the Second Age or the War of the Ring, they were never revealed. We have only ever met one Balrog since the War of Wrath: Durin's Bane. It is believed to have been the last Balrog in Middle-earth and is certainly the best-documented.
Much discussion has occurred as to whether the Balrogs had wings. Nothing has been decided conclusively, although the Balrog in the Peter Jackson film version of The Fellowship of the Ring, released in 2001, was clearly winged.