Frodo felt he had to leave because he had been wounded by "knife, tooth, and sting." He would never fully heal from the wounds that he had suffered upon his Quest and they began to make him sicken, a while after he and the other Hobbits returned to the Shire. He mainly needed healing, and the only place where he could get the healing that he needed was in Aman. Frodo also realized that as a martyr figure, he would forever be looked at askance, and would never be completely at home in the Shire that he helped save.
The Grey Havens seemed so magical because they were one of the last settlements of Elves. From there, grey ships would sail West to Aman, bearing Elves who had grown weary of Middle-earth. Frodo and Bilbo could go because they had done great deeds in defense of Middle-earth and needed to be healed from the wounds caused by their possession of the One Ring. Gimli was later allowed to go because he and Legolas had ended the age-old feud between Elves and Dwarves by becoming friends. Some say that Sam also left for Aman, after the death of Rosie. In short, those who did great deeds in defense of Middle-earth and the Free Peoples were allowed to go.
The Grey Havens were a magical place because of the constant presence of the Elves and because Cirdan, one of the mightiest of the Elf Lords yet in Middle-earth, watched over it. Any Elven settlement ruled by an Elf-Lord (or Lady) of great power becme magical through their power.
Quote:
"I thought Elves were all for moon and stars: but this is more elvish than anything I ever heard tell of. I feel as if I was inside a song, if you take my meaning." (Sam)
Haldir looked at them, and he seemed indeed to take the meaning of both thought and word. He smiled, "You feel the power of the Lady of the Galadhrim," he said.
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Also, the Sea was a very magical place, as is shown by the "force" that draws all Elves to the Sea. In its sounds are the last vestiges of the Ainulindalë, the Song of the Ainur, that created Arda. That is why many of the Children of Iluvatar are drawn to the Sea, though they know not why.
<font size=1 color=339966>[ 2:19 PM December 14, 2003: Message edited by: Finwe ]