Sauron: Physical Form?
Based on Barrow-Downs Forum material compiled (and mostly written) by Legolas
Any errors of spelling or grammar have been corrected silently.

"I am really confused. I have always had the idea that Sauron didn't have physical form in the War of the Ring. Now, did Sauron have a physical form or not? I had the idea that he didn't; that he couldn't take shape again after losing the Ring. Have I got it all wrong?" (-Eärendil)

"Could Sauron take a physical form after the Last Alliance? From what I read, it sounded like he was present in spirit during the War of the Ring but had no bodily manifestation." (-Túroch)

"Sauron did make a new body for himself when he took up residence at Dol Guldur. During the War of the Ring, the time covered in Lord of the Rings, Sauron did have a physical body. From The Silmarillion:

'True, alas, is our guess. This is not one of the Úlairi, as many have long supposed. It is Sauron himself who has taken shape again and now grows apace; and he is gathering again all the Rings to his hand; and he seeks ever for news of the One, and of the Heirs of Isildur, if they live still on earth.' " (-obloquy)

I believe this quote from Letter No. 246 should clear up any confusion about Sauron taking physical form during the War of the Ring. Note the bold text. Sauron have a physical form.*

"In his actual presence none but very few of equal stature could have hoped to withhold it from him. Of 'mortals' no one, not even Aragorn. In the contest with the Palantír Aragorn was the rightful owner. Also the contest took place at a distance, and in a tale which allows the incarnation of great spirits in a physical and destructible form their power must be far greater when actually physically present. Sauron should be thought of as very terrible. The form that he took was that of a man of more than human stature, but not gigantic. In his earlier incarnation he was able to veil his power (as Gandalf did) and could appear as a commanding figure of great strength of body and supremely royal demeanour and countenance (Letter No. 246)."

Primary sources:
The Letters of J.R.R. Tolkien (246)
The Silmarillion

Forum resources:
On Sauron's Physical Form I*
On Sauron's Physical Form II
On Sauron's Physical Form III