LotR -- Book 1 - Chapter 07 - In the House of Tom Bombadil

[Aiwendil]

Does it have something to do with Valinor being in the west?

That's what I've always assumed. West is the Good direction in Tolkien's mythology, apparently because that's where the Valar chose to dwell after the destruction of the Lamps - a west wind is always a good thing, for example. It seems to me that this is simply a result of the geography of Europe. To a European, west is the direction of the Sea and of sea-longing - just as here on the east coast of the U.S. I've always thought of east as the good or special direction. A large part of the feeling of the west in the Legendarium can be summed up in the image of a person standing on the shore, gazing westward toward Valinor.

Of course, in C.S. Lewis's Narnia books, east is the Good direction, which would seem to blow a hole in my theory.