I agree with Recnaps. I would like to see more awesome rewards from Utumno. Since it is the 1st dungeon of Morgoth, perhaps you can add loot chests littered in rooms throughout Utumno.
Here is an idea:
Don't change it so you get rewards from leaving Utumno, but change the structure of Utumno so there are multiple rooms in the side of walls, not just long hall ways and massive caverns. And inside these rooms, let there be large chests filled with rare goodies!
I have no pictures, but here are some ideas for rooms.
1. A Forge. Morgoth is one of the creation beings like Sauron and Saruman. He would definitely have forges to craft nasty weapons.
In this room you will find various armor's with really good modifiers and exstremely good scrolls for forging. Perhaps the very rare chance for a balrog whip?
2. A brewing room. Sauron makes a few nasty elixirs for his troops (Orc draught and Morgul brew), so why not let Morgoth have a few of his own?
This room will hold special brews. (I don't know where I am going with this one. Just thought it would be cool.)
3. A storeroom. Pretty obvious, but even Morgoth needs to keep his loot somewhere.
In these rooms you will find food, lots of coins, and the odd trinket or two. Flames, chills, and perhaps other special items?
I haven't any other ideas for now.