In Fellowship of the Ring, Gandalf says that a bearer of a Ring of Power, especially a mortal bearer, would quickly fall under the sway of the Dark Lord, and be mentally (and physically) enslaved to him. In a sense, that would make them "extensions" of Sauron, almost like extra limbs, albeit with a limited amount of free will. For example, your mind has control over your hand, but your hand can have random muscle spasms that your mind can't control. I think the Sauron-Nazgul relationship was like that.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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