Morgoth, also called Melkor, is one of the Valar. He rebelled against Iluvatar and became the dark lord, basically. Sauron is underneath him, because Sauron is a Maiar. If you want to know more read J.R.R Tolkien's "The Silmarillion."
Morgoth is the evil Vala who corrupted Sauron to darkness. Sauron eventually became more powerful than him, come much closer to taking over Middle-earth than Morgoth did.
Oh, and unlike Sauron, who is the Lord of Pure Awesomeness, Morgoth sucks donkey butt.
Morgoth is another name for Melkor. Sauron was Melkor/Morgoth's servant. For more details, I highly reccomend you read the Silmarilion (I probably spelled that completely wrong XD).
