Why didn't Sauron lead the attacks?

Why didn't Sauron come out of the Dark Tower and do battle himself? He could easily have won the War of the Ring by going to war personally. His Nazgul were powerful, useful servants, but their leader was slain by a Hobbit and a woman warrior. Sauron was in the battle at the end of the Second Age. Although he did lose his Ring then, most of his opponents from that war were long gone.

Sauron could have given Gandalf a real challenge. Gandalf's most difficult battle was with another Maia, the Balrog, and he just barely defeated him. Sauron is certainly much more powerful than the Balrog, so he could quite possibly kill Gandalf in single combat. Why didn't he? Too lazy?