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In The Lord of the Rings film adaptions, you can hear Sauron's voice at some points but it's often hard to hear it very well. You can also hear him quite clearly in The Lego Batman Movie, although I doubt that's canon...

But as far as I can remember none of his dialogue is ever in any of the books. It might say that he said something, but I don't think it ever had what he said verbatim in quotes like an actual piece of dialogue. For example, I'm not looking for

Sauron said to do it.

but an actual piece of dialogue like

"Do it," said Sauron.

Are there any such examples?

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    The below answer is the closest you get in Lord of the Rings. He has a few brief lines in the Silmarillion too (inability to check it for the exact lines at the moment is why this a comment instead of an answer). – suchiuomizu Feb 23 '20 at 5:33
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    He does some wolf-howling in Silmarillion: scifi.stackexchange.com/questions/100055/… – Amarth Feb 23 '20 at 11:26
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When Pippin... um... 'borrows' the Palantir taken from Orthanc, he hears (for lack of a better word) Sauron say the following in his head:

“Tell Saruman that this dainty is not for him. I will send for it at once. Do you understand? Say just that!”

And when Pippin is shaken out of the trance-like stupor caused by the Palantir, he says:

“It is not for you, Saruman! I will send for it at once. Do you understand? Say just that!”

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    That's a report of speech by Sauron. The quote (in whole): ' "So you have come back? Why have you neglected to report for so long?" <para> 'I did not answer. He said: "Who are you?" I still did not answer, but it hurt me horribly; and he pressed me, so I said: "A hobbit." <para> 'Then suddenly he seemed to see me, and he laughed at me. It was cruel. It was like being stabbed with knives. I struggled. But he said: "Wait a moment! We shall meet again soon. Tell Saruman that this dainty is not for him. I will send for it at once. Do you understand? Say just that!" ' – Mark Olson Feb 23 '20 at 14:46
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    @MarkOlson It is and it isn't. It is the only time we see Sauron communicate directly with anyone in Lord of the Rings, but it still has to be passed on like that due to the way the Palantiri work, with only Pippin capable of actually 'hearing' it. – suchiuomizu Feb 23 '20 at 17:05
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    @MarkOlson Technically everything in LotR is a report, since the book is supposedly a later account written by Frodo. And he wasn't even there in half the parts. We take his word for it, I say we take Pippin's too. – Misha R Feb 24 '20 at 3:29
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Sauron speaks in The Silmarillion

Thus Gorlim was ensnared; and taking him to their camp they tormented, seeking to learn the hidings of Barahir and all his ways. But nothing would Gorlim tell. Then they promised him that he should be released and restored to Eilinel, if he would yield; and being at last worn with pain, and yearning for his wife, he faltered. Then straightaway they brought him into the dreadful presence of Sauron; and Sauron said: 'I hear now that thou wouldst barter with me. What is thy price?'

And Gorlim answered that he should find Eilinel again, and with her be set free; for he thought Eilinel also had been made captive.

Then Sauron smiled, saying: 'That is a small price for so great a treachery. So shall it surely be. Say on!'

Now Gorlim would have drawn back, but daunted by the eyes of Sauron he told at last all that he would know. Then Sauron laughed; and he mocked Gorlim, and revealed to him that he had only seen a phantom devised by wizardry to entrap him; for Eilinel was dead. 'Nonetheless I will grant thy prayer,' said Sauron; 'and thou shalt go to Eilinel, and be set free of my service.' Then he put him cruelly to death.

and in the Akallabêth

And Ar-Pharazôn said: 'Who is the Lord of the Darkness?'

Then behind locked doors Sauron spoke to the King, and he lied, saying: 'It is he whose name is not now spoken; for the Valar have deceived you concerning him, putting forward the name of Eru, a phantom devised in the folly of their hearts, seeking to enchain Men in servitude to themselves. For they are the oracle of this Eru, which speaks only what they will. But he that is their master shall yet prevail, and he will deliver you from this phantom; and his name is Melkor, Lord of All, Giver of Freedom, and he shall make you stronger than they.'

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    Probably not coincidentally: these events, in contrast to LotR, are situated before Sauron's disembodiment. – GolezTrol Feb 25 '20 at 16:06
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    @GolezTrol Sauron was only truly disembodied in the movies though. He had a body in the books, though he temporarily lost it at the end of the War of the Last Alliance. His only permanent limitation was losing the ability to take 'fair form' and deceive people as he had before. That happened with the fall of Numenor. – suchiuomizu Feb 26 '20 at 3:03
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    I love that second section. Sauron of course was created by Eru and lived with him before creation. The cynicism is brilliantly rendered. – WOPR Mar 15 '20 at 11:57
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Another things that we know Sauron said, verbatim, according to The Lords of the Rings (although it does not appear as direct dialogue in the novel) is:

Ash nazg durbatulûk, ash nazg gimbatul, ash nazg thrakatulûk, agh burzum-ishi krimpatul.

At the Council of Elrond, Gandalf states that those were the very words that Sauron spoke into minds of the other wearers of the great rings at the moment when he donned the Ring of Doom.

Out of the Black Years come the words that the Smiths of Eregion heard, and knew that they had been betrayed:

One Ring to rule them all, One Ring to find them, One Ring to bring them all and in the Darkness bind them.

Presumably, Gandalf learned this at best third-hand, having heard it from Cirdan, Elrond, or Galadriel, who would, in turn, have learned it from Celebrimbor or the other smiths of Hollin, at the time when the three rings were hidden away. However, despite the story being hearsay, there is no reason to doubt the accuracy of Gandalf's account.

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