Deep, deep into the mountain. They fell for a very long time, fighting as they went. And then they fought and ended up high on the mountains, where Gandalf was once again rescued by the Eagles.
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The dwarven city in which the battle occurred was originally known as Khazad-dum by the dwarves, and Hadhodrond by the elves (Sindarin). Both of these names mean "The Dwarrowdelf." Later, after the Balrog had been awaken, and Khazad-dum defiled and overrun by orcs, the name was changed to Moria, "The Black Pit." The fight between Gandalf and the Balrog had several stages in and outside Moria. First there was the Battle of the Bridge of Khazad-dum. This is where Gandalf destroyed the bridge and the Balrog fell, dragging Gandalf with him. They clutched and hewed at each other and hit ice cold water. After exiting that, the slimy, flameless Balrog tried to escape through the passages of the lower depths and then up the Endless Stair, which ironically, did have an end. Gandalf chased him all the way to Zirik-Zigal, the peak. Here he killed the Balrog.
To my knowledge there is not anyone who said those words, though Gandalf said "You shall not pass" in the first movie "The Fellowship of the Ring" while attempting to defeat the Balrog in Moria. The Black Knight in Monty Python and the Search for the Holy Grail uses that phrase.
He knows that the dwarves there accidentally woke a Balrog, a great demon of shadow and flame. The beast is still there.
Balrog was created in 1954.
Gandalf is a Maia, a minor god or angel. In the Third Age, he and a few others like him were sent on a mission to help the peoples of Middle-earth against Sauron. Naturally incorporeal and able to take any shape, they have been given the shape of old men for this mission. These body limited them, both by being physically old men, but they also could not use their full power or knowledge. In Middle-earth this group is known as the Istari, and mortals have called them "wizards".When he was killed by the Balrog his freed spirit left the physical world, but was sent back by Eru (God). He awoke again where he had been killed, but now again had access to more of his power and memory than before when he had been Gandalf the Grey. The changed colour in his title refers to that change, but also in his taking over of Saruman's position. ---- Gandalf (the gray) is pulled into the dark pit in Moria by the Balrog. There he battles with the Balrog until he defeats him, but it almost kills him. Gandalf lies there for what he recalls as feeling like centuries, near death. He is sent back from death because he has not completed his job, which is helping Frodo and the good peoples of Middle Earth to defeat Sauron. He is forced to return to life as Gandalf the White, similar but not exactly the same as he was before he fell.