Grey Havens
 

I am so confused about how the book ends. Where are they all going, and how come Sam cannot come? The way it ends feels like there should be much more of a story.

They are leaving for the West, which is where the Elves when weary of Middle Earth. Frodo and Bilbo are also able to go as they are Ring Bearers.
Sam didn't leave with them because he still had his family to care for-he did not wish to leave the Shire. But the Appendices state that he travelled over the Sea years later after Rosie (his wife) died.

In the end, all those who had grown weary of Middle-earth departed from the Grey Havens and took Frodo and Bilbo with them. They went to Tol Eressea, or the Blessed Realm, where all the exiled elves were allowed to come when they had tired of the mortal lands.No mortal had ever been allowed there before the two hobbits. Frodo was brought there to heal, for he was totally destroyed in spirit after the destruction of the Ring, and had lapsed into a deep depression. Also, eventually, Gimli was granted permission to come to Eressea with Legolas, the only dwarf ever to do so.

So, is there another book that describes that story, or is it just in the appendix (which I haven't finished reading yet)? Does the 10 book history of middle earth cover it?

The appendix is good to sum up your initial questions after you finish the book, but if you really want to know about it you have to read the Silmarilion.

The appendix is a great help. The Silmarilion is a great read - it tells the whole history!
After reading LOTR, I felt I wanted to have the story go on... and on.

Sheeesh, I wish JRRT had lived a few years more!

Yes, do read the Silmarillion, it is very informative and a great read!

Why do the Elves have to sail west in order to remain immortal? Why would staying in Middle Earth make them mortal? Does this include Gandalf?

Their sailing West has nothing to do with their mortality or immortality. It's their nature to be immortal.
As for Gandalf, he sails West because that is where he is from and his mission is complete.

But it said in the book that Arwen turned mortal because she did not sail west with Elrond...

Arwen is a seperate case because she has mortal blood running through her. Elrond's father was Earendil and Earendil's father was Tuor, who was a mortal man. If one posses any mortal blood then their spirits must leave Middle Earth when their bodies die (as opposed to elven spirits, which remain in Middle Earth) Because of the great deeds of Earendil (of which, many are recounted in the Silmarillion) he and his progeny are given the choice of which race they wish to belong to. Earendil chose to be counted among the elven race, as did his elder son Elrond. Elros, Elrond's brother, chose to be counted among mortal men, he becomes the first king of Numenor. Aragorn is related to Elros, but of coarse many generations removed. Arwen chose to be counted among the mortals as well in order to remain with Aragorn. The fait of Elrond's twin sons is never revealed to us, all that is said is that they dwelt in Rivendell for some time. I've always believed they sailed into the west some time later.

Yes, Arwen doesn't go West because she chooses mortality, not the other way around!

There are a few other examples. Luthien is one where an elf renounces her mortality, in order to share the doom of Man (ie death).

Actually, Elladan and Elrohir choose a mortal life. I can't remember exactly where it says this, but I've always been interested in them. One possible theory I like is that they might have stayed longer to finish their fued with the Orcs and mop up any remaining in ME. The relatively short period between end of Sauron and the departure of Elrond might not have been enough time to accomplish this. Not sure if anyone's mentioned this, but basically, as long as Elrond was in ME, his children were immortal. It was their choosing not to leave for the West with Elrond that lead to their mortality.

I am almost positive that the fate of Elladan and Elrohir is not revealed to us in any of Tolkien's writings. I have never seen that Elrond's children must remain with him to remain immortal. It never actually says whether or not Elrond's children could make their own discussion as to which race they desired to belong to. I do not see any reason why they should not have been given the opportunity to choose for themselves.

[ April 06, 2002: Message edited by: Thingol ]

My question is why would Elraond leave if it would kill his daughter. He'd been in ME for what...3000 years or so? If he had waited another 300 for Aragorn to die he could have saved his daughter.

The fate of Ellandan and Elrohir is not know. Tolkien tells us this in Letter 153:

ELrond's leaving had nothing to do with Arwen's becoming mortal. Arwen became mortal because she chose the fate of Men rather than the Elves. She became mortal so as not to be separated from Aragorn.

In the end, I'm also confused, it seems like Aragorn chooses when to die, so technically he could live much longer, and then it seems like he gets to go on to the grey havens? So basically Arwen gets screwed...am I reading this right?

No, Aragorn doesn't go to the Grey Havens.

Aragorn wasn't the only mortal who was allowed to chose when they died. Tolkien confirms that any mortal in the Blessed Land--man, hobbit, or even presumably dwarf--got to chose when he would pass on to the circles beyond the world. Presumably, this group would have included Bilbo, Frodo, Sam, and Gimli. I figure Bilbo chose to move on first, and Frodo was probably at his side when he died. Then Frodo might have waited for Sam so they could go on together.

But what about poor Gimli? No way Legolas is going anywhere like that! I've never truly understood Gimli's time in Tol Eressa. I know about his service for Galadriel, but it still seems strange. He was the only one who wasn't a Ringbearer, and what special pains did he have to heal? We know about Bilbo and Frodo's difficulties. Even Sam might have had a guilty conscience since he had a nice long, healthy life and marriage plus lots of kids in the Shire, which is in contrast to what happened to his beloved Frodo. But Gimli?... Is there any more information about Gimli sailing from Grey Havens in the history of middle earth or anywhere?