According to Tolkien himself Sauron had a physical form in the third age:
...in a tale which allows the incarnation of great spirits in a physical and destructible form their power must be far greater when actually physically present. ... Sauron should be thought of as very terrible. The form that he took was that of a man of more than human stature, but not gigantic. ~The Letters of J. R. R. Tolkien
The question that I'm begging to ask is, does he survive his ring being destroyed? Is he seen dying? Or is he simply not seen at all?
Answer
Sauron himself was not seen in the movie, only his Great Eye. As to his destruction: from the chapter The Last Debate from The Return of the King Gandalf says of the One Ring
"If it is destroyed, then he will fall; and his fall will be so low that none can foresee his arising ever again. For he will lose the best part of the strength that was native to him in his beginning, and all that was made or begun with that power will crumble, and he will be maimed for ever, becoming a mere spirit of malice that gnaws itself in the shadows, but cannot again grow or take shape. And so a great evil of this world will be removed."
Sauron does survive the destruction of the ring but he is powerless to take action in Middle Earth ever again. However, in the original ending of The Silmarillion Tolkien wrote that Sauron would arise during the Dagor Dagorath or "Last Battle and Day of Doom" when his former master Morgoth breaks the Door of Night and destroys the sun and moon.
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