I want to identify a short story that involves humans using a machine to turn themselves into the native creatures (lizard-like) on another planet, maybe Venus. The turned humans go off into the grey and stormy surroundings, but never report back. The story ends with the narrator transforming and discovering that the native lifeforms see the planet in all its beauty, colors and sound organized by their brains.
Ok, well I'm going to answer what we've all been pretty sure about...
The story you're looking for is "Desertion" by Clifford D. Simak.
A later tale tells of a research station on the surface of Jupiter. (This story, first published as Desertion in 1944, was one of the first stories about pantropy.) Simak's version of Jupiter is a cold, windswept, and corrosive hell where only advanced technology allows the station to exist at all. A scientist is accompanied by Towser, his tired and flea-bitten old dog. But there is a problem. Men permanently transformed to survive unaided on Jupiter's surface leave the station to gather data and inexplicably fail to return. Finally, the scientist transforms himself and his canine companion into the seal-like beings that can survive the surface. They leave the station in their new form and experience Jupiter as a paradise. Towser's fleas and irritations are gone and he is able to talk telepathically to his former master. Like the previously transformed station personnel, the scientist decides never to return.
It should be noted that, while "Desertion" can be found in many anthologies out there (I first read it in The Ascent of Wonder: The Evolution of Hard SF) It is a part of Simak's own anthology City (1952), which uses "Desertion" as part of an overarching story about the slow, voluntary decline of the human race. I would recommend you give the whole anthology a read, though of course the story can be read alone without problems.