In "The Lord of the Rings" and the "The Silmarillion" some Maiar (Sauron, several Balrogs, Saruman) are defeated. But did these Maiar actually die and if they did, do they go to Halls of Mandos or what happens to them? Since Morgoth was not actually killed by the Valar after the War of Wrath, I assume that it might be impossible to kill one of the Valar, but I'm not sure whether the same thing is true for the lesser Ainur.
Answer
That depends on what you mean by "die." I'll start with the assumption that Elves and Humans are considered to die. I would define that as their soul being severed from their physical body and that they can no longer independently assume a physical form. You will recall that Elves' souls go to the Halls of Mandos and Humans' out of the World to join Iluvatar.
That being established, let's review what happens to the Vala and Maia we read about. Their physical bodies can obviously be destroyed. The question then is "what happens to their soul?" I think it's clear that the Valar themselves can't be "killed" in the sense that when their physical form is destroyed they can just stay in their natural, non-corporeal form or appear in another form as they choose; this is why in order to defeat Morgoth once and for all the Valar had to "cast him into the void." It's not entirely clear what that means, but I don't think it's in any sense "death," just a sort of imprisonment or exile. When Sauron's first body was destroyed, he was able to create another body by himself, though he couldn't make it as fair as the first, which is why he took the rather more fitting form seen in the movies. As I recall, the Maiar, like the Valar, have "bodies" that are only a physical projection of their real selves. Gandalf and the other Istari are Maiar, but it seems rather less powerful than Sauron, and when Gandalf "died" in the fight with the balrog (another Maia), Eru had to intervene to reincarnate him (and the Balrog didn't come back at all), so I think there must be some sort of threshold of either power or will to continue to inhabit Middle-earth (probably a combination) that determines whether their spirit continues as if nothing happened.
So, from this definition and what we know about the Ainur whose bodies were destroyed, I think there is a threshold combining their power and will to live that determines whether they can create a new body for themselves.
As far as Sauron goes, especially his destruction in the war of the ring, I think in the end he put too much of his power into the One Ring, and when it was destroyed, that part of his power was destroyed along with it (similar to a horcrux in HP, though more power than soul), leaving him without enough power to continue to inhabit Middle-earth, create a new body, etc.
Some relevant passages
About the forging of The Ring:
but secretly Sauron made One Ring to rule all the others... And much of the strength and will of Sauron passed into that One Ring.
Sauron's first body was destroyed in the rending of Middle Earth, when the Valar removed Valinor from the world and destroyed Numenor:
The world was broken, and the land was swallowed up, and the seas rose over it, and Sauron himself went down into the abyss. But his spirit arose and fled back on a dark wind to Middle-earth, seeking a home.
And his creation of a new body:
There [Mordor] now he brooded in the dark, until he had wrought for himself a new shape; and it was terrible, for his fair semblance had departed for ever when he was cast into the abyss at the drowning of Numenor.
Sauron's defeat:
But Sauron also was thrown down, and with the hilt-shard of Narsil Isildur cut the Ruling Ring from the hand of Sauron and took it for his own. Then Sauron was for that time vanquished, and he forsook his body, and his spirit fled far away and hid in waste places; and he took no visible shape again for many long years.
When he returns again, as the sorcerer of Dol Guldur, it is only said that he "took shape."
When the ring was destroyed:
Then Sauron failed, and he was utterly vanquished and passed away like a shadow of malice
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