This is an interesting question. I'm intrigued by Eomer's idea of the dead living somewhere else.
The spirits of dead elves (and men) go to the Halls of Mandos. Tolkien said that the elves, after a time, could be re-embodied and go to join their kin in Aman.
Perhaps from there, they are able to 'watch over' their graves on Middle Earth, as Arwen 'watched over' Aragorn, from afar?
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"Remember, hope is a good thing, maybe the best of things. And no good thing ever dies."
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