He knows that the dwarves there accidentally woke a Balrog, a great demon of shadow and flame. The beast is still there.
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In the book, he says nothing special to Frodo - it is at the guard room where he cannot decide that Pippin knocks something heavy down the well awakening the goblins and balrog. In the movie, there are two noteworthy exchanges, both which occurred elsewhere in the book. Frodo - (upon seeing Golum) "I wish Bilbo had killed him when he had the chance." Gandalf - "Many who live deserve death, and some that die deserve life - can you give it to them? Do not be so quick to deal out death and judgement. For Even the very wisest cannot see all ends." Frodo - "I wish the ring had never come to me. I wish none of this had happened" Gandalf - "So do all who live to see such times, but that is not for them to decide. All we have to decide is what to do with the time that is given to us."
Moria All Dwarven realms are underground but the one I think you are referring to are the Mines of Moria, Khazad-dum. It was destroyed and abandoned when the Dwarves woke up the Balrog. Other popular Dwarven realms are in Erebor, Iron Hills, Blue Mountains (and after the War of the Ring, the Glittering caves where Gimli was the lord).
In the Hobbit Thorin Oakenshield died in the "Battle of the Five Armies" And Fili and Kili Died protecting Thorin. And in the Lord of The Rings 3 died Balin Oin and Ori in the mines of moria Fun Fact: Bombur is so fat 6 young dwarves have to carry him to a couch or bed ! Funny right? :D
a person who goes into the cole mines
Sauron was a Maia, a demi-god of sorts, and thus could not be "killed." Sauron's bodily form was destroyed in the destruction of Numenor, and he was ever after unable to assume a fair form. When Isildur severed the Ring from him, Sauron's spirit was greatly diminished, but not destroyed. Sauron was finally destroyed by Frodo when he dropped the ring into Mt. Doom, the volcano. Even then, his spirit still lived on, but so diminished in power as to be completely defeated for many an age.