If you ask me: just whatever.
As long as you have the complete Fellowship and a worthy Moria Army (15 to 20 mini’s including a Leader or two) it doesn’t matter. If you can lay your hands upon a copy of the playing rules there’s not even need to buy a Starter Set.
My favourites are: Gandalf BS 109; Boromir BS 102; Sam BS 119 and Frodo BS 108.
If you buy the Cave Troll box it will provide you with some nice looking mini’s of Aragorn, Legolas and Gimli.
Merry and Pippin come with the Treebeard box.
Moria Goblins can be found in both the BS and FE series (there’s an article about the Combat Hex game on Wikipedia somewhere that can give you a full review of the game, including a complete list of all BS, FE, TT, PD, PL and RK minis).
http://en.wikipedia.org/wiki/Hex_CombatAs for the Balrog, you will not believe your eyes when the package arrives!
Ordinary dice will do but there’s still a special Sabertooth Dice Set for sale on eBay.
Ad last but not least: you’re free to invent your own playing rules when that stupid Troll crashes into your Chamber of Mazarbul!