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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). 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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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. 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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My goodness, no-one has mentioned the scene where Pippin steals the palantír then looks in it after Orthanc falls...

After Pippin looks in the palantír he passes out. After Gandalf revives Pippin, he relates his mental...clairvoyant..whatever you want to call it conversation with Sauron on the other end of the line:

'I tried to get away, because I thought it would fly out; but when it had covered all the globe, it disappeared. Then he came. He did not speak.... He just looked, and I understood.

"So you have come back? Why have you neglected to report for so long?"

'I did not answer. He said: "Who are you?" I still did not answer, but it hurt me horribly..., so I said: "A hobbit."

'Then suddenly he seemed to see me, and he laughed at me. It was cruel.... 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!"

'Then he gloated over me. I felt I was falling to pieces. No, no! I can't say any more. I don't remember anything else.'

The Two Towers, (Book V) Chapter 10, "The Voice of Saruman"

It's been pointed out by @chepner that we are getting Sauron's dialogue second-hand via Pippin, rather than "first-hand" via the omniscient narrator. However, just before Pippin's exchange with Gandalf, as he's coming out of his trance, he also says the "Tell Saruman...say just that" part exactly, so this is more like a compulsion to repeat Sauron's words verbatim than a game of "telephone".

@Nolimon makes a good point that the narrator isn't omniscient anyway, it's actually Frodo (maybe Bilbo) writing down what Gandalf (maybe Pippin) told him.

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    Minor semantic point, we are getting Sauron's dialogue second-hand via Pippin, rather than "first-hand" via the omniscient narrator.
    – chepner
    Jun 7 at 15:54
  • (But yeah, I was surprised no one had mentioned it; I remember seeing this question earlier and thought someone had.)
    – chepner
    Jun 7 at 15:55
  • @chepner I hope I've addressed your point adequately.
    – Spencer
    Jun 7 at 16:31
  • The narrator isn't omniscient anyway: it's Frodo (Or Bilbo for Silmarillion examples). So if you follow that logic too far nothing counts.
    – Nolimon
    Jun 7 at 16:39
  • @Nolimon Good point. I meant Tolkien as the out-of-universe narrator, but yeah, everything is Frodo's recounting of what he was told.
    – chepner
    Jun 7 at 17:04
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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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Sauron speaks a lot more in the Lay of Leithian

Here's part of his conversation with Gorlim, versified.

and Sauron said: 'Come, mortal base!
What do I hear? That thou wouldst dare
to barter with me? Well, speak fair!
What is thy price?' ...

...

Then Sauron smiled, and said: 'Thou thrall!
The price thou askest is but small
for treachery and shame so great
I grant it surely! Well, I wait:
Come! Speak now swiftly and speak true!'

...

Then Sauron laughed aloud. 'Thou base,
thou cringing worm! Stand up,
and hear me! And now drink the cup
that I have sweetly blent for thee!
Thou fool: a phantom thou didst see
that I, I Sauron, made to snare
thy lovesick wits. Naught else was there.
Cold 'tis with Sauron's wraiths to wed!
Thy Eilinel! She is long since dead,
dead, food of worms less low than thou.
And yet thy boon I grant thee now:
to Eilinel thou soon shalt go,
and lie in her bed, no more to know
of war - or manhood. Have thy pay!'

He speaks when Beren, Finrod Felagund, and co. are trying to sneak past.

'Go! fetch me those sneaking Orcs,' he said,
'that fare thus strangely, as if in dread,
and do not come, as all Orcs use
and are commanded, to bring me news
of all their deeds, to me, to Thû.'

There's more.

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