Both were Maiar: one with highly capped powers, sent to help people against Sauron but only indirectly, and one persuaded and formed into a war and fear bringing monster by one of the most powerful beings that ever walked Middle-earth. I always thought of Gandalf as a wise advisor (not weak at all, but no warrior) and of Balrogs as one of the most dangerous parts of Morgoth's army.
So how was Gandalf able to defeat the Balrog without intervention (which didn't happen until after his sacrifice)? I know Gandalf died in the process, but I am still wondering.
Answer
Gandalf's limits on his powers appear to be largely self-imposed. As we learn in this question, Gandalf did operate under a "rules of engagement", but there were times when he went outside the lines of those rules and operated more openly. His battle with the Balrog was one of those times where he drew on more of his real power than he was generally supposed to do.
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