They Shall Not Pass!

[Inziladun]

Originally Posted by Aiwendil

You do have a point about the oddity of speaking Westron to the Balrog. But for some reason I have the feeling that a creature like the Balrog would have understood Gandalf's words, no matter what language he used.

I think I recall that the Valar really had no need for speech among themselves. If that's correct, maybe the same would hold true with Maiar.
Following, perhaps Gandalf was speaking more for the benefit of the Fellowship, as some said, to encourage and embolden them, than to make his intentions known to the Balrog.