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Get up, my good Gimli! No blame to you, and no harm to me. Indeed, my friends, none of you have any weapon that could hurt me.
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This is interesting, because Aragorn had the sword Anduril. As we all know, Isildur 'hurt' Sauron with Narsil (cutting his finger off) and reducing him greatly. Does this mean that Gandalf is in some way stronger than Sauron, even though he fears him? Remember- Sauron was wearing the ring when Isildur chopped his finger off.
Also, the 'inner flame' of the Ainur that dancing ungoliant mentioned is Ea, the 'flame imperishable' which Eru set in all the Ainur. This leads me to say, what happened to the Balrogs when they were slain (i.e. Gothmog, and the two slain by Gandalf and Glorfindel)? Would their spirits go beyond the world or be subservient to another power? Keep in mind that they are Maiar also.