I've been puzzling for some time over where exactly the elves sail to when they go to the Havens and pass over Sea. According to my Guide to Middle-Earth, Aman and Tol Eressea were removed from Arda, sometime in the second age, I think? So, where are the Undying Lands? Do they remain on Middle-Earth, and if so, why can't they come back? Also, in my understanding these lands don't actually confer immortality, so do Bilbo and Frodo die at some point? I'd always liked to believe that they became immortal, but perhaps this is not so.