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?