the movie balrog

[Yavanna]

Why don't you think the balrog has wings? The one in Khazad-Dûm did.

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...

In the Silmarillion, it called Balrogs "demons of terror" and when I think of a demon, I think of something with horns.. or a gargoyle. So I think they did pretty well with the Balrog in the movie. =)