Regarding Glorfindel, in the Silmarillion, after his battle with the Balrog they “both fell to ruin in the abyss”. “Then Thorondor bore up Glorfindel’s body out of the abyss, and they buried him in a mound of stones beside the pass.”
Did the same thing happen to Sauron after the ring was destroyed? I remember reading that he appeared to loom up out of Mordor in the form of dark clouds, but then was blown away so to speak.
Where do maia go when they . . . er . . . die? Wasn’t Morgoth the Vala sort of unkillable, such that he had to be cast into the outer darkness? Do the maia go to the same place?
And in keeping with the JRRT mythos, Glorfindel’s spirit fled to Mandos, where it sat around waiting, possibly to be reborn. Tolkien wrote at length about elves being reborn after the physical destruction of their bodies (see HOMES for details), and pondered about declaring the Rivendell Glorfindel to be one of these cases. Unfortunately he had the lack of vision to die before tying up all his loose threads.