What lies beyond?

[Legolas]

Actually, we know very little of what lies East of Mordor (as did Tolkien himself).

Saruman and the Blue Wizards (Alatar and Pallando) ventured into the East. Saruman returned of course, but Alatar and Pallando remained. What were they doing out there? We have no idea.

We do know of the land Cuiviénen were the elves woke in the Years of the Trees, and of the sea Helcar that land surrounds, though we're not sure either are still there.

From The Silmarillion:

In the changes of the world the shapes of lands and of seas have been broken and remade; rivers have not kept their courses, neither have mountains remained steadfast; and to Cuiviénen there is no returning. But it is said among the Elves that it lay far off in the east of Middle-earth, and northward, and it was a bay in the Inland Sea of Helcar; and that sea stood where aforetime the roots of the mountain of Illuin had been before Melkor overthrew it Many waters flowed down thither from heights in the east, and the first sound that was heard by the Elves was the sound of water flowing, and the sound of water falling over stone.

Also in the east was the land Hildórien. Hildórien is where the first men awoke.

There is also the land of Rhûn, where there is also the Sea of Rhûn, and a mountain range called the Orocarni.

Gondor was attacked by the men of Rhûn, and these men (Easterlings) were allied with Sauron in the War of the Ring.

Oromë, the Vala, rode upon his horse Nahar into the east as he was very interested in those lands (as he was in all the lands of Middle-earth). It was he who found the elves.

And on a time it chanced that Oromë rode eastward in his hunting, and he turned north by the shores of Helcar and passed under the shadows of the Orocarni, the Mountains of the East. Then on a sudden Nahar set up a great neighing, and stood still. And Oromë wondered and sat silent, and it seemed to him that in the quiet of the land under the stars he heard afar off many voices singing.