'Winged speed', ladies and gentlemen, 'winged speed':
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'Swiftly they [Morgoth's Balrogs] arose, and they passed with winged speed over Hithlum, and they came to Lammoth as a tempest of fire.'
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Now, you may believe the phrase 'winged speed' (in Shakespearean pronunciation, 'wing-ed speed') is a metaphor; however, in context to the sentence as a whole, 'Swiftly they arose' indicates lift or ascent. Tolkien uses the words 'passed...over' and not merely 'crossed' Hithlum, which also refers to an overhead route, and a 'tempest of fire' ('tempest' defined as a storm or squall) would be defined as a firestorm from above. 'Arose', 'passed...over', 'winged speed', 'tempest' -- all indicative of flight, ascent or heights.
In addition, have any of you ever looked at the distance between Hithlum and Lammoth, and were you aware that Ered Lómin (the Echoing Mountains) separated Hithlum from Lammoth? To put it in context with the internal logic of the story, the balrogs 'arose', 'and they passed with winged speed over Hithlum' -AND-
over Ered Lomin, and they alighted into 'Lammoth as a tempest of fire.'
The Balrogs were called by Morgoth in an emergency, a life and death situation where minutes counted. They did not run like some cartoon characters -- feet whizzing in a cyclonic blur like Speedy Gonzalez or the Roadrunner -- and simply scaled Ered Lómin like some mega-hikers hyped up on meta-amphetamines, all in an appropriate amount of time to swiftly aid Morgoth. The very idea is absurd. The passage only makes sense if they had wings and flew over the mountain in time to save their master.
As far as Durin's Bane, when was the last time he had a chance to fly in Moria? Would flight even be possible in such unlit caverns? Where would he fly to? That he fell when the bridge collapsed does not mean that he couldn't fly; on the contrary, there is such a thing as 'lift' in aeronautics. The Balrog was in free-fall, a nose-dive, and could not maintain sufficient 'lift' because of his great body mass.
In conclusion, Balrogs have wings because it looks much cooler than a plain, old, wingless demon. How insipid! How dreadfully mundane! Argue amongst yourselves, I have all the data I need to make an informed decision.
