Fellowship of the Ring
There's at least one reference to Morgoth in the extended edition:
Celeborn: Tell me, where is Gandalf, for I much to desire to speak with him. I can no longer see him from afar.
Galadriel: Gandalf the Grey did not pass the borders of this land. He has fallen to shadow.
Legolas: He was taken by a foe of shadow and flame: a balrog of Morgoth.
Fellowship of the Ring (2003)
Gandalf alludes to both Eru and Morgoth in his fight with the balrog1:
Gandalf: I am a servant of the Secret Fire, wielder of the flame of Anor. The dark fire will not avail you, flame of Udun.
Fellowship of the Ring (2003)
There's at least one reference in the score; according to the Fellowship of the Ring annotated score, the full text of Arwen's prayer is:
What Grace is given me, let it pass to him. Let him be spared. Mighty Valar, save him.
The Music of the Lord of the Rings Films Part 1: The Fellowship of the Ring The Annotated Score Texts "Arwen's Prayer"
The Two Towers
When Aragorn is floating down the river, hallucinating Arwen, she says:
Arwen: May the grace of the Valar protect you.
The Two Towers (2004)
In the next scene, between Arwen and Elrond, Valinor is called out by name:
Elrond: Tollen i lû. I chair gwannar na Valannor. Si bado, no círar. (Arwen, it is time. The ships are leaving for Valinor. Go now... before it is too late.)
The Two Towers (2004)
The Battle of the Five Armies
Considering Peter Jackson didn't have the rights to the Silmarillion material2, and very little mention of the Valar is made in the Lord of the Rings books themselves, I actually find it surprising that so many exist.
1 Nod to Hatandboots for reminding me of this one
2 To the point where reference is made of the Blue Wizards in An Unexpected Journey, but Gandalf can't remember their names; the Blues are referenced in the Appendices, but their names are only revealed in The Silmarillion and Unfinished Tales
3 Nod to suchiuomizu for pointing me to this one.