Goodness me, this thread is getting long!
I'm just going to offer my personal opinions here. I think that there is evil, and there is malevolence, evil being the greater of the two. Evil is actively working to destroy and overthrow solely for the sake of it, just out of greed, jealousy, and spite. Malevolence is doing, essentially, "Other bad stuff."

But then there are different levels of malevolence (M):
M1. in which someone is doing something bad for a justifiable reason (ie: survival, personal freedom, etc -- gain of power not included).
M2. in which someone is doing something bad because he/she cannot help it (ie: loss of free will)
M3. in the case of someone, as Evisse said, "for whom there is no good and evil."
M4. in which someone does bad things, but without a goal of ultimate destruction and enslavement.
M5. in which someone acts wrongly because he/she cannot/will not resist a stronger power delivering orders. This is not to say that he/she is acting unwillingly, but is still just doing what he/she is told.
To be truly evil requires a great amount of personal power, which most of Middle-earth's baddies lack.
I shall now classify! (Using Fordim's original list with a few more thrown in)
1. The Black Riders-- I would put these in category M2, because they have lost their free will.
2. Old Man Willow-- M3, because he's a tree. A nasty tree, but hardly something that is going to take over the world anytime soon.
3. The Barrow Wights-- M3, because they're rather undead and cannot be responsible for what they do.
4. The Watcher in the Water-- a tricky one. M4, I think, because its motivations are never really explained.
5. Orcs-- M5. They are dark creatures but do have the potential to be redeemed, although it is doubtful that they would use this potential.
6. The Balrog-- I would say that the Balrog is evil, simply because it and its kind were used for evil for so long. The Balrog can think for itself, and is so powerful that even the Moria Orcs flee from it.
7. Gollum-- M2, because the Ring has destroyed him so much that all hope of redemption is gone.
8. The Fell Beasts-- big and ugly, but basically like the Oliphaunts or Trolls (even though Trolls like to eat people on their own time!). They are put to evil uses by Sauron, and who can tell what they would have done on their own? They probably wouldn't be wreaking so much havoc, so I'd say M5.
9. Shelob-- I think that Shelob is indeed evil, because while she does eat to survive, she also eats out of hatred. She almost fits into the "above good or evil" category because it seems that she simply *must* eat, and she is not concerned with Sauron's personal motivations. However, the topic of Ungoliant was raised, and Ungoliant was definitely evil.
10. The ghosts of the unfaithful-- perhaps they were bad in their own time, cowardly at the very least, but as ghosts they're not that big of a threat. It's played up more in the movie so I won't go into them.
11. The Mouth of Sauron-- M2. He cannot recall his own name; he has no purpose other than to serve Sauron.
12. Sauron-- Evil all the way, but not as evil as...
13. Morgoth-- The original baddie, who is totally more badass than Sauron!

Yup, he's evil, though.
14. Uruk-hai-- M4 in my opinion. They *are* just doing what they're told, but their also a lot more aggressive than regular orcs.
15. Saruman-- he definitely became evil, though he was not always so.
and....
16. Grima-- my poor favorite minor character, always neglected! And always an enigma, too. I could say M1, because he was promised Eowyn if he worked for Saruman, but that is a rather sleazy motive. So perhaps we could also say M5, because he's a pretty weak person by nature and probably fell victim to Saruman's voice quite easily.
I conclude with...
"For nothing is evil in the beginning. Even Sauron was not so." ~Elrond
Thoughts?
~Encaitare