What was the first unexpected/bad thing that happened after they left elrond

Eventually the younger members of the group are sent to find a cave where the group can sleep for the evening. As everyone is sleeping inside of the cave, Bilbo is unable to sleep because of a nightmare that becomes reality: the cave is occupied by goblins and Bilbo's yell is able to alert Gandalf, who disappears. Bilbo and the dwarves are captured.