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I imagine his spirit is just wafting around ME--I mean he can't go back to Valinor, he isn't cast into the void like Melkor....
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When I started to think about the fact that Sauron was, as you say,
Roxbury, just kind of "wafting" around in Middle Earth without form, unable to rise again, it suggested to me a parallel structure with the splintering and diffusion of the Light as well. Whereas the lessening of the ancient purity of the Lamps of the Valar and the Two Trees is traced more or less to the Sun and Moon and reflected through the lessening of the Race of Numenor and the shrinking of the stature of hobbits, etc. , so also is the shadow "diffused" about Middle Earth with Sauron's fall. There is no longer a single, concentrated threat and definable evil figure one can point to after Sauron's fall. But the lesser evils continue and seethe in the hidden places, occasionally to break forth and cause trouble. I cannot remember the quote wherein Tolkien says that, after Sauron, there will be no future evil of the
same kind, i.e., embodied and concentrated as he was.
I think this speaks to a basic, sort of entropic reordering of the whole of Middle Earth concerning the transition of Third to Fourth Age. Not only do the Elves and Maiar leave, but only the shadows of the great embodied shadows of Middle Earth remain as well. Men are left to battle splintered evil and gather the fragments of great good. This was just a thought I had as I read through this thread several times in the last few days. Thanks for listening...uh...reading!
Cheers,
Lyta