I agree, as many of you have stated, the Balrog is a must. The bridge of Khazad dum would be nice as well along with Gandalf with a sword and a staff.
Also, Orthanc would be amazing. The tower would be so detailed (or so i hope). I really wouldn't buy it if it's not going to be spectacular. Obviously with Saruman and some Orcs. The addition of Treebeard and other Ents and Merry and Pippin is a great idea.
As for the Witch King, no matter what set he comes in that's fine, as long his figure is available.