Melkor was even a Vala, a Power of Arda (though he later wasnt counted among them anymore), and Sauron his highest servant
And as the others already said, Sauron WAS a Maia
Which means that he is one of the blessed, made by Ilúvatar to create the world together with him - all these beings that already were before Ea was are called Ainur, the Holy Ones, and among those who later came to Arda, the 15 (later 14) mightiest were called the Valar while the others are the Maiar. And among the Valar there were again some mightier than the other, those were the Aratar