3/3/13:
For those unaware, there is a long-going debate over whether balrogs have wings. (http://www.glyphweb.com/arda/b/balrogs.html, http://casualstrolltomordor.com/2011/03/do-balrogs-have-wings/, http://en.wikipedia.org/wiki/Balrog to name a few)

There's a scene early in the Silmarillion where a large number of balrogs rescue Morgoth (the evil bad guy) from the giant spider goddess, Ungoliant. It's heavily implied they fly him away, but given the heavy debate on the issue, Peter Jackson apparently decided to compromise. (Personally... wings look cooler than no wings. I figure the balrog in Moria fell because the danged space was too small to fly. No one ever seems to make THAT argument!)

Speaking on more story-related things... the Bart currently employed by Scotland Yard is Future Bart, not (present?) Bart, just in case that wasn't clear. The Muggle job openings were slightly better than what Harry had to deal with.