I believe that Squatter's and davem's summaries are both quite accurate. In a nutshell, Frodo left because he did not feel wholly comfortable in the Shire (nor in any other place in Middle Earth, really). The main reason he did not want to stay in the Shire, I believe, is because he had grown beyond it in mind and stature, and yet he received no praise from the Shire-folk for all his great deeds. The Gandalf quote that Squatter provided ("Alas! there are some wounds that cannot be wholly cured") was also particularly pertinent.
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...where the instrument of intelligence is added to brute power and evil will, mankind is powerless in its own defence.
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