I do not think it is surprising that Sauron wore rich, intricate clothing. Before his corruption by Melkor, Sauron was called Mairon the Admirable and served the valar Aulë - the Smith and Craftsman of the Valar. He was known for a time as
"... a great craftsman of the household of Aulë" - Morgoth's Ring
"In his beginning he was of the Maiar of Aulë, and he remained mighty in the lore of that people." - The Silmarillion
Seeing as he was one of the greatest craftsmen in all of Valinor, this meant his work would be greater than that of even the Elves. This tremendous skill is what led to him being able to forge the One Ring.
It should be worth mentioning as well that Tolkien never explicitly describes Sauron's appearance, aside from broad generalizations. In Letter #246 we have
"... 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."
and prior to the downfall of Númenor (when he could still take a fair form):
"as a man, or one in man's shape, but greater than any even of the race of Númenor in stature... And it seemed to men that Sauron was great, though they feared the light of his eyes. To many he appeared fair, to others terrible; but to some evil." - The Lost Road and Other Writings
So some creative liberties were taken by Peter Jackson & Co.