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Balrog is significantly smaller, I believe (and presumably not allowed for GW tournaments/stores due to LotR licensing limitations, if that matters to you).
Daemons can of course look like anything - that's what's cool about Chaos modelling - but if you play serious games, you will want something close to the standard model's dimensions and weaponry and flying ability, and looking Khornish (as opposed to Nurgle/Tzeentch etc).
Is this for Fantasy or 40K? If 40K, one amusing option would be a more sci-fi look, along the lines of the daemon engines, and perhaps it floats/hovers in mid-air rather than needing wings.
Or a dragon would be another option if you want wings, although most of the GW dragons look a bit spindly to represent a Khorne mega-thug.
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