[Ibrîniðilpathânezel]

I would dare say that Sauron seems more complex a villain because more was written about him, but I think, like Tolkien, that Melkor was more thorough in achieving his goal. When Tolkien described all of Middle-earth as being "Morgoth's Ring,"and then compared it to Sauron's Ring, he likened it to Sauron having put most of his power into a single piece of gold, whereas Morgoth put his power into all gold. With the destruction of that single piece, Sauron was thoroughly defeated, but because it would be impossible to collect and destroy all gold, Morgoth would never be entirely defeated, until the world was remade and his taint "filtered out" of it. The scope of what Melkor did was tremendous, and Sauron was merely a follower of it, not the originator of it.

That said, I do think that Melkor/Morgoth comes across as a less dramatic villain because of the very nihilistic madness that drives him, his hatred of all creation; Sauron is more focused and thus appears more in command of himself and his actions. Tolkien said that Melkor could not stand the simple fact that the world existed, and would have eventually destroyed everything, even his allies, simply to try to achieve an impossible end (impossible because, while he could destroy what was in the world, he could not destroy the fact that the world existed). Sauron was perfectly happy to let the world exist, so long as it existed under his command and by his rules. Villains who appear as lunatics are never as chilling as those who seem perfectly sane, and still pursue a path of villainy. Just my two cents, as always.