*eye begins to twitch*
I just don't get why people want to debate this so badly. Because I figured somebody would say that, Ima go get my copy of Fellowship........
OK. A couple pages before "Lothlorien," chapter 6 in book 2, it says, "The Balrog reached the bridge...His[Gandalf's] enemy halted again, facing him, and the shadow about it reached out like two vast wings. It raised the whip, and the thongs whined and cracked. Fire came from its nostrils. But Gandalf stood firm.........The Balrog made no answer. The fire in it seemed to die, but the darkness grew. It stepped forward slowly on to the bridge, and suddenly it drew itself up to a great height, and its wings were spread from wall to wall.........."
I dunno, but that sure sounds to me like the Balrog had wings.................And if anybody's gonna ask for page numbers, I didn't give 'em because I have a really old edition, so don't ask what page I found that on, cuz you won't get an answer.