[Raynor]

Originally Posted by Rune

I believe Ulmo hardly ever had a physical form, but still managed to send messages to Elves and Men.

Ulmo does have a body, yet not of the manner of his peers:

Originally Posted by Of the valar, Valaquenta, Silmarillion

Moreover he does not love to walk upon land, and will seldom clothe himself in a body after the manner of his peers. If the Children of Eru beheld him they were filled with a great dread; for the arising of the King of the Sea was terrible, as a mounting wave that strides to the land, with dark helm foam-crested and raiment of mail shimmering from silver down into shadows of green.

although the description given in Unfinished Tales sounds a bit more humane:

Originally Posted by Of Tuor and his coming to Gondolin, Part One: The first age

And it seemed to [Tuor] that a great wave rose far off and rolled towards the land, but wonder held him, and he remained there unmoved. And the wave came towards him, and upon it lay a mist of shadow. Then suddenly as it drew near it curled, and broke, and rushed forward in long arms of foam; but where it had broken there stood dark against the rising storm a living shape of great height and majesty.

Then Tuor bowed in reverence, for it seemed to him that he beheld a mighty king. A tall crown he wore like silver, from which his long hair fell down as foam glimmering in the dusk and as he cast back the grey mantle that hung about him like a mist, behold! he was clad in a gleaming coat, close-fitted as the mail of mighty fish, and in a kirtle of deep green that flashed and flickered with sea-fire as he strode slowly towards the land.