I am looking for an old fantasy movie that I saw on TV once and never finished (probably from the eighties or nineties). I don't think it was puppet creatures not animation, and if I remember correctly it was about a young human that went into a fantasy world, searching for someone or trying to save the world (or both). I remember something about a large red, horned demon, and a small seemingly frail or faerie-like companion that was leading the main character. I think there was a very sad event like someone dying. I know it's vague but any help would be awesome...
It is NOT:
The Dark Crystal
The Labyrinth

Thanks!

Might be Legend (http://www.imdb.com/title/tt0089469/)

This is most definitely Legend starring a rather young Tom Cruise and Mia Sara with Tim Curry as the devil creature