When I was a kid, I thought 'balrog' distractingly close to the bathetic 'frog' to really work (just as 'Nazgul' distracted my ear with its faux-resemblance to 'seagull'). But in both cases I was wrong. These are two nicely chosen examples of Fantasy terminology.
Re-reading the book now, I'm struck that I didn't see before what Tolkien was doing in coining his Balroggy name: glancing, cleverly, at 'Baal'. His beast is a sort of pagan god of fire and pain (Wikipedia: 'Classical sources relate how the Carthaginians burned their children as offerings to Ba'al Hammon'), a literalisation of the theological evil against which the novel pits itself.
There's more: Ba'al ["(Arabic: بعل, pronounced [ˈbaʕal]) (Hebrew: בעל, pronounced [ˈbaʕal])(ordinarily spelled Baal in English) is a Northwest Semitic title and honorific meaning master or lord"] is connected with root-words that mean 'high', or 'elevated'. [Hobson-Jobson talk about the Persian 'bala meaning 'above, over']. Tolkien neatly locates this 'elevated' entity in the very deepest, least elevated place; hidden below Moria).