I know that Sauron has been disembodied once or twice in his day (after the downfall of Numenor; after Isildur cut the ring from his finger), but I had always assumed that, by the time he takes possession of Barad Dur again in Frodo’s day, he’s got his body back.
Lately though, I seem to be reading more and more that people think he has no body during the events of LotR. --Exacerbated, I think, by Peter Jackson’s focus on the Eye of Sauron … people seem to think he’s just a big, fiery eye. Me, I always assumed he had a body (doesn’t Gollum, in reference to his torment at Sauron’s hands, mention something like, “there are only four fingers on the black hand … but they are enough”?) but that his piercing lidless Eye was just a notable feature, and one that a ringbearer, fearing exposure and discovery, would be aware of.
In the First Age, when Huan fought him in werewolf form and Luthien sent him back, disembodied, to Morgoth
When he drowned in the destruction of Numenor
When Isildur cut the ring off of his hand
He regained bodily form sometime after this (I don’t remember the cite) and had it when he was in disguise as the Necromancer in Mirkwood, when he captured Gollum, and lost it when the Ring was destroyed.
Actually, Luthien only threatened to let Huan destroy his body. She let him “live” in exchange for mastery of the tower where Beren was held captive. After Huan released Sauron, Sauron turned into a vampire bat and flew off to lick his wounds and muck up some other place.
Not only that, but she very strongly implied that if she had let Huan finish him off, it would have been permanent. The daughter of Melian does not use words like “forever” lightly.
I do seem to recall that he was re-embodied by the time of the War of the Ring, but I can’t remember where it was said explicitly.