[Azaelia of Willowbottom]

I don't think Sauron is written in a way that one can have sympathy for him. We don't get to know him nearly as well as we come to understand Gollum/Smeagol. Sauron isn't written to be as tragic and pitiable a figure as Gollum. He brought whatever suffering or anxiety he suffered upon himself when he bit off more than he could chew in creating the Ring and making a bid for world domination in the first place.

I also don't know how capable Sauron is of feeling much beyond anger and greed. He's certainly not human in either a literal sense, being of the Maiar but not forced to take a human form. Not being even as "human" as, say, Gandalf or Saruman, does he feel at all? Or is he all cold calculation? How far down that dark road can one soul go before it ceases to be just that?

Also, I think perhaps any anguish that he would have felt at losing the Ring probably got channeled, over the years, into just what we see in him relating to the ring: a fierce drive to do whatever it takes to get it back.