I read somewhere that after dying, and him being a Maiar, his spirit doesn't die. But he was barred from returning to the Hall of Mandos. So his spirit is broken and wondering I guess. Where do you think Saruman's spirit would wander to?

EDIT: Thanks for all the answers so far; but just speculating, where would you think his spirit would wander too? Would be go to Mordor and watch the crumbles, would he live among the elves in regret?