Well it's called the undying lands. Also elves will remain in Arda (world) til the end while men will pass beyond it's borders at death. They are called the visitors, and since their visit is so brief they aren't allowed to go to the undying lands. It was morgoth who instilled fear of death in man. It was a gift from illuvatar just like immortality was a gift to the elves. However because of Morgoth men envy the ever lasting elves, and Sauron pushed them over the edge making them sail towards Valinor. Which ****ed off god...
