The one that's fun to say in a pansy-ish moan is Legolas's "Ai! A Balrog is come!"
And from rereading LotR more recently, I think I've begun to appreciate Tolkien's droll sort of humor. One thing that made me laugh was a quote from the last chapter of RotK (I believe) and it says something along the lines of,
Quote:
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"And no one was ill, and everyone was pleased, except for those who had to mow the grass."
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as if mowing the grass is some kind of great hardship. ::chuckles to self::