According to Tolkien himself Sauron had a physical form in the third age:
...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. ~The Letters of J. R. R. Tolkien
The question that I'm begging to ask is, does he survive his ring being destroyed? Is he seen dying? Or is he simply not seen at all?