Quite recently, I felt the urge to search Gandalf's name in Google Image. At first, I thought it nothing special, just a few pictures of Ian McKellen in his white attire. But this particular piece of artwork caught my I and I looked at it more closely.
GandalfFallsWithTheBalrog.jpg
At first I thought it nothing special, just another picture of Gandalf's battle with the demon, until something caught my eye. Look closely at the Balrog's chest and right-arm and you'll notice the plated armor. Would the Balrog(s) actually have armor of any sort, or would their likely thick-hide be enough to defend them against most attacks?