Gandalf Vs. The Witch King

As an afterthought, it should be remembered that Sauron's power is growing throughout the 3 films, made evident by Gandalf saying "his full strength gathered". It would seem that Sauron is at that point as strong as he could be without the Ring. In turn, that would make the Nazgul as strong as they could be; at Weathertop, they could still be gathering their strength and be weaker, making it possible for Gandalf or Aragorn to chase them away.

As for Gandalf the grey killing the balrog, Gorfindal kills (and is killed by) Gothmog, the leader of the Balrogs, and possible the second most powerful Maiar after Sauron in Morgoth's army. Gorfindal is an elf (granted he is an elf lord and as Elrond says "those who have existed in the undying lands have great power against the seen and Unseen"), but he managed to take down a Maiar, and Turin Tarumbar is going to come back and take out Morgoth himself, and he's only a man, so I dont think its asking too much of the Witchking to take down GAndalf.