Further to our report from the Games Workshop who are making LOTR-themed figures for their Middle-earth battlegame, we got this in the mail:

I noticed that there was no mention of a BALROG in the ‘Forces of Evil’ list of figures on the GAMES WORKSHOP site. I found this slightly worrying as they did have other Moria stuff listed, so I decided to enquire at the big Games Workshop in (somewhere secret otherwise they’ll get in trouble.)
The guy I talked to there was very excited about the whole thing, and seemed to know more about it than he was letting on, and HE said that there definitely WOULD be a Balrog produced by them, and that it would be some sort of special release, separately boxed type thing. He also said that although all the other figures would be released up to 6 weeks before the release of the film, the Balrog figure is not allowed to be released until AFTER the film. This is apparently because of the secrecy surrounding what the Balrog will actually look like, and he mentioned how closely guarded the stills/pictures were.”

Thanks to Luthien Tinuviel for a great scoop