Originally Posted by Of the rings of power and the third age, Silmarillion

When Thangorodrim was broken and Morgoth overthrown, Sauron put on his fair hue again and did obeisance to Eonwe the herald of Manwe, and abjured all his evil deeds. And some hold that this was not at first falsely done, but that Sauron in truth repented, if only out of fear, being dismayed by the fall of Morgoth and the great wrath of the Lords of the West. But it was not within the power of Eonwe to pardon those of his own order, and he commanded Sauron to return to Aman and there receive the judgement of Manwe. Then Sauron was ashamed, and he was unwilling to return in humiliation and to receive from the Valar a sentence, it might be, of long servitude in proof of his good faith; for under Morgoth his power had been great. Therefore when Eonwe departed he hid himself in Middle-earth; and he fell back into evil, for the bonds that Morgoth bad laid upon him were very strong.

Originally Posted by Unfinished Tales, Part Four, Chapter two: The Istari

Whereas Curunir was cast down, and utterly humbled, and perished at last by the hand of an oppressed slave; and his spirit went whithersoever it was doomed to go, and to Middle-earth, whether naked or embodied, came never back.