What if...Gandalf died at Moria?

After fleeing from the Balrog of Morgoth in the mines of Moria, Gandalf takes a stand in an attempt to save the remainder of the Fellowship.

"You can not pass!...you shall not pass!"

Gandalf destroys the bridge and the Balrog falls, not before one last desperate attempt to bring Gandalf with him. As the Balrog's whip pulls Gandalf to the edge of the cliff, his final words to the Fellowship that he led so far: "Fly you fools!" He sacrifices himself to give the Fellowship a chance to flee the attack of the goblins.

With Gandalf gone, the Fellowship make their way to Lothlorien. From there, they set out for Amon Hen and face off against the Uruk Hai before the Fellowship breaks further. Merry and Pippin are taken captive, Boromir sacrifices himself in an attempt to save the Hobbits and Frodo and Sam escape together on a boat.

So how would the story continue if Gandalf never returned?

To begin with, it's very likely that Merry and Pippin would be killed by Treebeard, without Gandalf there to confirm they are not orcs, they would simply be crushed by the Ent. Aragorn, Legolas and Gimli would still encounter Eomer and be led to track Merry and Pippin to Fangorn Forest only to find the two Hobbits dead.

Aragorn and company would still make their way to Edoras however, without the knowledge of Saruman's hold over Theoden, I believe they would either be imprisoned or executed thanks to some influence from Wormtongue.

The battle of Helm's Deep would never occur because Saruman would have no reason to go to war with Rohan as it's under his control.

Aragorn's entire arc would be wiped out. He would never claim Anduril, summon the army of the dead or help with the war at Gondor and also bring all the armies to the Black Gate to help Frodo and Sam.

Gandalf is instrumental in bringing Merry and Pippin to safety, dispelling Saruman's curse and in turn, rallying Theoden to go to Helm's Deep. He's also responsible for Aragorn's ascent to the throne aswell as finally being the one to rescue Frodo and Sam from Mordor.

Without Gandalf, I believe the story would take this very dark and plausible turn and it's unlikely that Frodo and Sam would ever get as far as to destroy the Ring, without the diversion at the Black Gate.