Yes Arwen, the Maiar in there basic spirit form could take on any shape they wished. It appears though that if they turn to evil they will lose that power either sooner or late. It seems unlikely that the Balrogs could shape shift at least. Sauron we know could shape shift right up to the fall of Numenor. Gandalf in Valinor (Olorin) we read in The Silmarillion can seem to shape shift when he walks amoung the Elves.
