Long story short - there are certain differences between the two Dark Lords.
While Morgoth was pretty much all about rage and jealousy, wanting to replace the Valar's creation with his "own", Sauron was more of a tactician, trying to conquer hearts and minds instead. It shows in their actions for a long way.
Anyway, another interesting topic for debate, I think? Both lost, but which one did you think had more success?