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Gothmog, the thought of Melkor had crossed my mind as well. Thanks for suggesting it!
While reading the Ainulindale I felt quite a bit of sympathy for Melkor. All he was doing was being so in awe of the whole creation concept that he wanted to take part in it himself. Nor can we really blame him for being the way he was, since after all that was how Ilúvatar made him...
I think what is missing in the case of Melkor is that most tragic heroes either die fairly quickly after their "fall", or at least come to a transcendental moment of clarity, realizing their own faults and taking responsibility for the consequences of their misguided actions. Melkor never does acknowledge his wrongdoings, except as a ruse to corrupt Valinor, and by the time he finally dies, we the readers have long since run out of sympathy for him. Simply stated, he wore out his welcome as a tragic hero.
Also, one of Aristotle's points is that a good tragedy produces fear in the part of the audience, because what happened to the tragic hero (being undone by a combination of circumstances and one's own faults) could conceivably happen to them as well--after all, who is without faults? But Melkor's fall is unique: no other being was in a position to be the ultimate source of all that is evil in the world. To some extent the same applies to Fëanor as well--no other child of Ilúvatar could fall so far simply because no other was as great to begin with. But Fëanor was the first, and most poignant example, of the power of Melkor's evil to corrupt the Children of Ilúvatar in general . For this reason his fall strikes fear in the Valar (since they now realize just how much damage Melkor is capable of doing) and in the other Eldar.
Thoughts, anyone?
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