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harold said:
All of the undying races - the Valar (gods), the Maiar, and many of the Eldar (elves) - live in Valinor, also called the Undying Lands. This was Tolkein's version of Avalon and Hy Brasil, with a little bit of Heaven mixed in as well.
Long, long ago, the Valar created Valinor after one of their number, Melkor, went bad and destroyed their original home. The Valar living in Valinor discovered elves (Quendi) in Middle-earth and invited them to the Undying Lands. Most came, but some (the wood elves, the grey elves) stayed in Middle-earth and/or arrived too late for the journey. Those Quendi that went were the Vanyar (the fair), the Noldor (the wise), and the Lindar (the singers). Much later, one of the Noldor, Fëanor, created the Silmarils and the palantiri. Melkor stole the silmarils and fled to Middle-earth, taking one of the Maiar, Sauron, with him as his assistant. Fëanor gathered the Noldor into a vast army to chase Melkor to the ends of the earth to retrieve them. The War of Wrath was the result, which ended the first Age. After the first Age, many of the Noldor remained in Middle-earth, but they would head to the west when they felt their time in Middle-earth was done, sailing off to Valinor where only the undying could go, never to return.
They never come back for a variety of reasons: they only go when they've decided to never come back, the journey for them is only one way (like Heaven), it is so wonderful that everything in Middle-earth pales in comparison (so there'd be no reason to return), and I suspect that the Valar would not allow them to shuttle back and forth any more. There's been so much strife as a result of the traffic back and forth to Middle-earth that they probably only allow them to "come when you're sure you're going to stay." Finally, over the millennia, many elves have made the journey, so when they go, they are reunited with family and friends not seen for thousands of years.
Some of the elves were born in Valinor, no doubt, but most of the ones we read about in the trilogy were not, having been born of the Noldor after Fëanor formed his army and returned to Middle-earth. But they are always welcome to return (as long as they stay).
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