I agree with Celethil here
it's probably because Gollum is shown as having a milder, friendlier side to his personality as well, unlike the Nazgul which are very much one side, scaring everyone around them.

I don't feel pity for Gollum but for Smeagol. The ring could have got to anyone and the story would have changed. Smeagol was wick, Gollum had strenght to live in a darq cave for ages feading on fish and still yet able to hold the ring in secret and safe until the moment of Sauron's call. In my opinion, Gollum grew in strenght not the other way around.

I was in a thread discussion from another forum about the psychology of Gollum, some very interesting discussion turned up...here's just some of the ideas that were tossed around.

Smeagol kills for the Ring upon sight of it (or not long after he actually sees it).  Smeagol tries to justify his claim to the Ring, he says it's his birthday present and that's why he deserves it.  Even though if Deagol tells him he already got him a present that was probably more than he wanted to spend...it still doesn't matter, Smeagol wants this Ring for his presents and he deserves it.

Imagine Smeagol's mind like a scale, with two polar opposites...the ultimate 'good' and the ultimate 'evil':

Evil---------------------------------------------------Good
(Gollum)                                                        (Smeagol)

A lot of people seem to think that the Ring is what creates the 'Gollum' in Smeagol, it brings out a bad side of Gollum.  But, I disagree, as TM and Celethil explain Smeagol wasn't that nice of a person before.  We get see that Smeagol was already weak-minded and had done some pretty mean acts:

Letter 181 describes Smeagol as 'damnable,' he has a 'mean soul,' and he is the 'mean son of a thief.' (This was before Smeagol came in contact with the Ring).  So, we could actually say even before coming across the Ring there already is a 'Gollum' in Smeagol, he already is capable of committing some mean acts and doesn't have a good history.

Let's look at what he does after killing Deagol and going back to his community with the Ring:

'No one ever found out what had become of Deagol; he was murdered far from home, and his body was cunningly hidden.  But Smeagol returned alone; and he found that none of his family could see him, when he was wearing the ring.  He was very pleased with his discovery and he concealed it; and he used it to find secrets, and he put his knowledge to crooked and malicious uses.  He became sharp-eyed and keen-eared for all that was hurtful.  The ring had given him power according to his stature.  It is not to be wondered at that he became very unpopular and was shunned (when visible) by all his relations.  They kicked him, and he bit their feet.  He took to thieving, and going about muttering to himself, and gurgling in his throat.  So they called him Gollum, and cursed him, and told him to go far away; and his grandmother, desiring peace, expelled him from the family and turned him out of her hole.'~Shadow in the Past

Gandalf remarks in this chapter that the Ring gives the individual power according to their stature, and also we know that the Ring plays with the nature of the individual.  Why is it that when Bilbo gets the Ring he still remains a nice and good hobbit?  Because, he was a nice and good hobbit before getting the Ring, and the way he acquired the Ring was out of Pity for Gollum.  (Another example...Boromir who is obsessed with the victory of Gondor plus his own personal glory to go along with it.  So the Ring appeals to him as a weapon and he would be a 'great Commander with men flocking to his banner and driving off the forces of Mordor). 

Smeagol murders to get the Ring and I think we can get a good look at what Smeagol's personality was like even before he ever saw the Ring.  Because the Ring plays with the nature of the individual.  From the quote above we see:

1.Hides the body of Deagol who he killed...Murdering is bad enough, but Smeagol goes hides it, covers it up, and no one ever finds the body.

2. Uses it to find secrets and with malicious intent...There it is, he uses the Ring with malicious intent.  Bilbo uses the Ring to as an occasional joke to play and to escape from those dratted Sackville-Bagginses.

3. He took to thieving, he became very unpopular amongst those in his village.  And we can see here that the Village (or Smeagol's grandmother) wasn't in the wrong here.  She expelled Smeagol from the family because she wanted peace.

To sum everything up as Gandalf tells Frodo, when Frodo wonders why Bilbo didn't kill the little wretch: 'Deserves it! I daresay he does!'

'Gollum' was a label attached by the people in Smeagol's village describing the coughing sounds he made in his throat.  But I don't think it was the Ring that creates Gollum in Smeagol.  Gollum was already there and present in Smeagol, as he was already a mean/just downright bad person.  However, the Ring goes and further polarizes the two, Smeagol and Gollum.  The Ring makes the Gollum more noticeable, to put it that way, and it brings out Gollum more...but Gollum was already present in Smeagol.  (If that makes sense ).  The Ring didn't create two opposing forces in Smeagol, they already were there, the Ring just brings out one of the sides (which just happens to be the 'mean' side).

Despite all this, I still do pity the poor guy. As Frodo did nearly save him and redeem him...he nearly was redeemed by Frodo's pity.  But alas, Sams' snap and the Ring's pull was too strong to overcome.  Which I find as the pity/sad part of the whole thing.  He was nearly saved and redeemed from the Ring, but fell short.

-- Edited by Lord Lórien at 18:47, 2006-11-05