Okay Shadow in the east, methinks you should go ask some questions in the Newcommers forum, but i'll go ahead and answer ya. Valinor is the land of the Valar, demigods/angels who originally made middle earth. If you want to know the whole story read the Silmarillion. It's a little slow at the start but it picks up. If you want a good sorce of Tolkien maps look up The Atlas Of Middle Earth by Karen Wynn Fonstad at your local book store.
Now as to the Elves passage to the west being a one way trip, I tend to believe that there is nothing holding them from coming back. However, they have no real reason to leave, they left Aman once and look what happened, why should they try it again?
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For the valour of the Edain the Elves shall ever remember as the ages lengthen, marvelling that they gave life so freely of which thay had on earth so little. But it is not for thy valour only that I send thee, but to bring into the world a hope beyond thy sight, and a light that shall pierce the darkness." Ulmo - Lord of waters
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