Throughout the History of Middle Earth series, there's a lot of discussion about Elven hroa and fea, which are essentially body & spirit. When Elves die unnaturally, their fea goes to the Halls of Mandos, a kind of purgatory. Eventually they are reborn into a new body, and over time remember their old lives and become their original self again. Christopher Tolkien suggests that the Glorfindel from Gondolin in the First age and the Glorfindel from LOTR are the same person. This being the case, where are all the other elves who died, and why don't we see or hear from any of them? JRR allows for an out by saying especially evil Elves aren't allowed to do this, but that still leaves a lot of them. I suppose they might all choose to stay in Valinor, but you'd think at least a few would show up again.