I would agree with Legate in that Gollum made his way out just before the Fellowship. He knew his way about, and did not need to follow them to be led to the exit. The last sighting of him by anyone in the group came while they camped in the large hall on the last night. From that point, he likely slipped ahead of them and went out through the East-gate, hiding where he could watch for them and resume stalking.
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Music alone proves the existence of God.
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