Yes, Sauron is one of the all-time great villains, despite or because of essentially having no lines — at all. We sort of hear him whisper a bit through the Ring, but that’s about it. I don’t recall him having much more to say in the novels. Of course, as you’ve pointed out, that’s partly what makes him so menacing. We project our own fears into the shadow cast by his character. Tolkien was very canny about allowing the reader’s imagination to do most of the heavy lifting in that department, but he was amazing at peppering his creations with just the right amount of WTF detail — for example, when Gandalf is fighting the Balrog, he grabs hold of it and finds it slimy, which is not what one would expect of a creature of shadow and flame. Also, if I remember correctly (and I might not) it changes shapes. In my own epic fantasies “The War of the Moonstone” and “The Song of Doom” (shameless plug, I know), I, like Robert Jordan, have a main antagonist heavily inspired by Sauron, and I’ve studied Tolkien’s handling of the Dark Lord quite a bit. He was a master.
As for your comment about wanting Sauron to get the Ring, I do know what you mean. If he could only do that and the story were to continue, things could get really, REALLY serious, and much more complicated. To that I say, wait till LOTR becomes public domain, and I guarantee you we will see extensions and expansions on the tale. Even Tolkien admitted he set up more than he paid off, and I don’t think he would (too crossly) begrudge a worthy writer’s vision of a longer War of the Ring. After all, we live in the age of the 20-volume epic fantasy. A 2 and 1/2 volume story just isn’t that big, and LOTR is, above all the others, a story we want to savor, one we want to sink our teeth into and enjoy over the longest possible stretch — provided the writing and storytelling warranted the length, of course.