Alright, at this point, we know that Balrogs are demons and that they've been around from the beginning of time. That begs the question: Where are they all when "The Lord of the Rings" kicks off? Why is there just one badass demon lurking under a mountain somewhere?
It turns out that the Balrogs are a rather rare commodity by the time the main trilogy rolls around. This is because most of the spiritual servants of darkness don't survive their heyday — which takes place either in or before the First Age of Middle-earth history. (For reference, "LOTR" happens at the end of the Third Age, several thousand years later.)
In this earlier portion of history, Balrogs tend to show up often, and every time that they do, they show a remarkable loyalty to their master, Morgoth. For instance, at one point Morgoth is captured and held prisoner for a few thousand years. Rather than heading off on their own, though, the Balrogs literally sit tight, hiding and waiting for their master to return. When he does show up again, he has a showdown with the monstrous arachnoid spirit Ungoliant. When Morgoth is overpowered, he cries out, and guess who comes to his rescue? You guessed it: his Balrogs.
After that, the Balrogs show up regularly in the wars that Morgoth wages with the Elves, Men, Dwarves, Maiar, and other free peoples of Middle-earth. They serve as bodyguards around the Dark Lord's throne, lead his armies in battle, and carry out his nefarious deeds throughout the 500-year-long First Age. Every time a Balrog is mentioned, it's always used as a tool to raise the stakes, cranking the threat level of any situation up to 11.
