Who has managed to slay a Balrog?  Gandalf and Glorfindel come to mind right away, but there are others who have.  Ecthelion killed four, including Gothmog, the Lord of the Balrogs.  Tuor killed a whole mess of them.  Allegedly, of course.  Balrogs started by being numbered in the thousands, though eventually it seems Tolkien wanted to get down to just seven of them. (Figure, four Ecthelion got, the one for Glorfindel, one for Gandalf, and that leaves just one more for Tuor.)

Personally, I like the idea of tons of them, to varying degrees, some with and some without wings, and all of them nasty, awful buggers.  For the most part.  There's always that one really strange li'l balrog who wants to strut about in a tutu and hug everyone.  It just happens.  But mostly, evil and nasty.  Nasssssty, precious.

Not so lucky in their Balrog encounters?  Pretty much, if you slay a Balrog, it also slays you.  However, there were some who just got their asses handed to them by the Balrogs.  Also killed by Balrog attacks without slaying any?  Feanor and Fingon.  What a way to go, eh?