Lord of Angmar: Legolas was undoubtedly saying to Gimli 'no news (from Galadriel) is better than bad news'...you know, 'don't be disappointed she didn't send you any message - that's better than her sending a message of doom to you.' He did not mean that Galadriel's message to him was about death. He could've inserted any bad news in his statement to Gimli; he chose death to exaggerate his point, make it more obvious.
Tolkien explicitly states that Bilbo, Sam, Frodo, and Gimli died in Aman. You can read the quotes here (and the threads linked to at the bottom):
Mortals in Aman
Some of the most concise quotes (but I recommend you reading the article with the entire excerpt from Tolkien's letters):
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They cannot abide for ever, and though they cannot return to mortal earth, they can and will 'die' of free will, and leave the world.
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Quote:
Frodo was sent or allowed to pass over Sea to heal him if that could be done, before he died. He would have eventually to 'pass away': no mortal could, or can, abide for ever on earth, or within Time.
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Quote:
As for Frodo or other mortals, they could only dwell in Aman for a limited time - whether brief or long.
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[ September 25, 2003: Message edited by: Legolas ]