That's right, Mhoram. They go to Valinor, the Ultimate Gated Community.
As for Men: Tuor, the husband of Idril, got to "cross over" and achieve immortality, as did his son, Eärendil, as reward for his aid in rescuing the Simaril. (Though later he became a star, and just had to float above it all. Bor-innggg!)
As for Frodo, Bilbo, and Samwise; the debate still goes on as to whether they achieved immortality, or were only allowed to go to an outlying island, there to find healing and live out their natural lifespans. It may have been the same with Gimli. Who knows? The Valar are really kinda fussy about these things.
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