The Route of the Ring

[Legate of Amon Lanc]

Originally Posted by Lalwendë

I think at most he may have had some kind of foreshadowing that he may meet his fate against an enemy like the Balrog, though he may not have known who or what he faced (he may have thought he may have to face Sauron for example).

What I do think is that Gandalf knew full well what lived in Moria and that he had a good feeling that if he passed that way he would have to face this foe. This is why, in my opinion, he was procrastinating both before and during the journey through the mines.

I agree with the first paragraph you wrote, but not with the second. Mainly because of the fact that Gandalf seems that he did not know what to expect in Moria, judging by these words:

"A Balrog," muttered Gandalf. "Now I understand." He faltered and leaned heavily on his staff. "What an evil fortune! And I am already weary."

To me, it looks like he was saying: "Oh yeah, so this is it!" or maybe even "Oh no, old Bob, why him? He was terrible even back then before Eä!"
And before he says:

Then something came into the chamber - I felt it through the door, and the orcs themselves were afraid and fell silent. It laid hold of the iron ring, and then it perceived me and my spell. What it was I cannot guess, but I have never felt such a challenge.

This implies that both Gandalf and the Balrog were surprised, and it looks like from that very moment Gandalf was fully aware of the fact that "something" that is totally outside his experience is upon them. Though Gandalf even pondered the fact that the creature could have been buried along with Balin's tomb when the room collapsed.

So, my conclusion is that Gandalf knew about some danger, and that he even had a feeling - though not fully conscious - that something terrible awaits him in Moria. But at least until that moment quoted above he was not aware what exactly, and definitely did not think of Balrog (and according to how he acts, I believe he did not think about it at all).