Something I like about Tolkien is the stylistic "smallness" of the grand epic mysteries of the world. Sauron is the Prime Lieutenant of the Dark Lord of All Omg Guy Morgoth - and yet, while being so cosmologically important, he manages to end up in some relatively local political squabbles in some comparably small corner of the cosmos, Middle Earth. The whole world not even being charted or explored and the fact that several nations side with Mordor in the name of freedom makes one question the exact nature of the grand conflict and the scope of the world - and whether there is more to it than even the Ainur. For obviously, Middle Earth is not the whole world, but it's somehow the only place things happen in, isn't it? I suspect I might be wrong, but there's a certain charm to this scope: Sauron is cosmologically important, but he fights stuff on a local scale to gain local power and simply start a regular Evil Kingdom. It's curious how Arda works.
Other fantasy things could learn from this. In all fantasy settings atm you fight against the end of existence or something. Skyrim has the world try to end, Warcraft ended up with it in WoW as well, Starcraft II managed to do it as well... I like that the Dark Lord simply tries conquering a kingdom, even if he is supposedly the evil of all. It's much more terrifying a villain that brings pain and suffering to a people than one that simply ends being - like how perpetual torture is scarier than the disappearance of death. It's simply more relatable.