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Okay, the answers to all of this lie in The Silmarillion. The Undying Lands or Valinor, are located just off the edge of Middle Earth along a straight road off the Horizon. Only the Elves ships can sail along it (and not even all of theirs, don't ask, really it gets very complex!) As this is where the "gods" or Valar of Middle Earth live. Originally all the elves were meant to go there and stay but due to a whole load of complications, some never got ther, and some came back. But most of them have the option of heading back and "going into the west" as Galadriel calls it.

Of course, in LOtr JRR only hinted at this, and never said Undying lands, or Valinor, or Valar at any point. However, Mr Jackson has decided to thow these qustions into the mix, by liberally sprinkling his script with these phrases which mean nothing to your average movie-goer, and only make sense to ultra tolk-geeks like myself.

Hope I've helped you there perfectkiller, welcome to the forums, stay and enjoy, and feel free to ask anything you need to know, one of us usually knows the answer.
Hi perfectkiller. Welcome to Planet Tolkien.

In addition to Plastic's answer, about the Undying lands lying on the straight road across the horizon, this was not always the case.

When first created Ea (the world) was flat and the Undying Lands lay across the sea to the west of Middle Earth. Later an island was created in the middle of this sea, and became home to the Numenorians (forefathers of the Gondorians and Aragorn).

As time passed, however, Sauron corrupted the Numenorians and encouraged them to invade the Undying Lands and claim immortality for themselves. With a great fleet they did this, but as soon as they landed on the shores that had been forbidden to them, Eru (the One God) destroyed them and their island. To prevent it happening again, he then removed the Undying Lands from Ea, setting it some place else, and made the world round.

The elves will not suffer the effects of ageing in Middle Earth, but they do become weary of it after a great time. In the Undying Lands their spirit is kind of revitilised.

As a footnote for you, the Halls of Mandos (the place the spirits of the dead go to) are also in the Undying Lands. After spending a certain amount of time here, elven spirits may be released, whereas the spirits of men remain until the end of time (after which they join Eru in Heaven).

If you are interested in finding more out about this topic, the Silmarillion deals with it in great detail. We are running a Silmarillion Reading Group within the forum, and the first assignment covers this topic.
Perfectkiller: Welcome to our forum. Happy Elf Smilie

Don't remain a stranger and be careful not to pick up one of the Professor's books for once you do, you may not be able to put it down. Elf With a Big Grin Smilie

The Hobbit is a kids book that adults can enjoy. It tells of Bilbo's quest and of his finding of The One Ring, which of course was only then known as a magic ring that made its wearer disappear.

The Lord of the Rings is the epic story of Frodo's quest toward the destroying of The One Ring and with it the Dark Lord Sauron.

The Silmarillion tells the pre-history Tolkien's world Ea, from the creation through the first age, the 3400 plus years of the second age, and the 3000 plus years of the third Age which ended at the end of The Lord of the Rings .

There are other books, but they are of less significance than these three. Cool Elf Smilie

You asked a quick question, but never expect a quick answer around here if anyone knows the answer. There are only two ways to receive a quick answer: Ask a complex question for which no one knows the answer or ask a question in our Eyespy in Middle-earth 20 questions game found in our Ivy Bush Tavern. Elf With a Big Grin Smilie
So are the undying lands and elvish heaven not the same place? I've often wondered what happened to elves who died in middle earth? Where does Eru live? So many questions and I can't look in my copy of the Silmarillion as I had to take it back to the library cause it was a month overdue. Were the humans in middle earth existentialists as they had not God to dictate morals?
I second that.... Where does Eru live? I know that the Valar live in Valinar but does he live there too? And another quiestion (which is probably answered in the Silmarillion but I still haven't finished it yet) were men made at the same time as men and if so why don't we hear about tham until whats his name "awakens" them?
Some of these questions are answered in the first assignment of the Reading Discussion Group found in the Guilds section of this forum.

Quickly, however.

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So are the undying lands and elvish heaven not the same place? I've often wondered what happened to elves who died in middle earth?
Valinor is a physical place in which the Valar live. Many elves live there too, and it is also known as the Undying Lands. Elves who die in battle etc go to the Halls of Mandos (as also do dead Men, Hobbits and Dwarves). There they sit in quiet contemplation, in the dark. Depending how good they have been, elves may later be released from these Halls and allowed to wander freely in Valinor. There is some debate as to whether this means in physical body or just in spirit. In Valinor, however, many beings live in spirit form, so this would not be like modern day ghosts.

Unlike elves, Men remain in the Halls until the End. After the End comes the Second Music of Eru which Men take part in. This is most likely Heaven, and is said to be greater than than the First Music (that which created Ea...earth). So in effect, elves get heaven on earth, while Men get true Heaven afterwards when everything else has ceased to be.

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Where does Eru live?
Eru lives in the Timeless Halls with those Ainur that did not come to Ea after its creation. The Timeless Halls are distinct from the Timeless Void and Ea but they are without limit, stretching from the Abyss to the Firmament.
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Were the humans in middle earth existentialists as they had not God to dictate morals?
Men in Middle Earth were aware, through the teachings of the Elves mainly, of the Valar and Eru. The more educated races knew the Valar for what they were and worshipped Eru as the one god. Those without the benefit of elven teaching often fell under the dominion of Melkor or Sauron and tended to worship those as gods.
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were men made at the same time as men and if so why don't we hear about tham until whats his name "awakens" them?
I assume by this question, you mean were Men made at the same time as Elves. If so the answer is Yes. Both elves and Men were created by Eru alone during the third theme of the First Great Music. They were assigned different times to be awoken, however, and elves had walked the earth many ages before Men awoke. Dwarves on the other hand were created later by Aule, without Eru's prior knowledge, and having been blessed by Eru were put to sleep in deep caverns until the Elves awoke.

For more information on these topics read either the opening chapters of the Silmarillion or the comments raised in out Reading Discussion Group.
Thank you Val. I know I'm thick but ... the Silmarillion talks about elves and then men being awoken later, it also talks about the creation of dwarves but how did the hobbits come about? Also, if elves were immortal and stayed as young as their children forever wouldn't the world have been completely over populated with elves (it's a strange concept, immortality, I can't quite get my head around it).
As has been stated here already, the answers to all of these questions lie in the Silmarillion. Iím reading the book for the first time now, and itís absolutely incredible! Itís a must read for any serious Tolkien fan. For anyone out there who has been putting it off, pick it up, because it will blow you away!

Ringfacwyn, you are right, Arwen sacrificed her immortality for a mortal life with Aragorn, and that is why she dies, although she lives for many bitter days after the death of Aragorn. Also, Iím not 100% sure on this, but I think that it might be possible for an Elf to die (after a very, very, very, long time) before the end of days comes, and the second music is created, if as Val stated, they donít eventually go to Valinor to have their spirits revitalized.
Elf Smilie
Some ELves fade if they encouter great sadness in their lives, or if they stick around into the fourth age. They do not die unless they are phsically killed, and even than they get to come back.
The reason that elves are not totally overrunning Middle Earth is that they have more restraint in their procreation, as they're not really in such a rush to ping out babies willy-nilly. That and all the bloody wars they seem to have.
Ok, the first thing I have to say on these wonderful questions is Read the Silmarillion. The 2nd thing is also check out the Unfinished Tales and Book of Lost Tales 1 & 2. These 4 books really explain a lot of the details and are very interesting in my opinion. Ya'll have asked some great questions, unfortunately the answers are very complex. Val, The Squirrel, and Grondy are excellent at answering these types of questions, but to truly understand, you need to read more of Professor Tolkien's works.
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but how did the hobbits come about?
I haven't found any written confirmation by Tolkien anywhere actually giving details on this. It is said in places that they are closely related to Men and they came into being in the First Age (as did Men), but nothing more specific. A lot of people see them as being a sub-race of Men, but personally I'm not so sure.
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Also, if elves were immortal and stayed as young as their children forever wouldn't the world have been completely over populated with elves
Like Plastic said, they have few children and although immortal when it comes to ageing and disease, they can still be killed in battle or die of grief. When you read the Silmarillion you become aware of the tens of thousands of elves that were slaughtered in the wars against Morgoth and Sauron.
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If there is some truth to what I said, than that would explain why Arwen died some time after Aragorn. Or could that be simply because she gave herself to Aragorn and a mortal life
Being half-elven, Arwen was given the choice of mortality or immortality. When she fell in love with Aragorn she chose the path of Men and became Mortal. She laid down her life during the winter of the year that Aragorn had died.
Elves have not over populated the planet as they will only have children if it is likely that both the parents will be arround to bring up the child.
If tired of the world elves can die like Arwen of Feanor's mother.
A few people of the other races can also sail to the undying lands but only if they have done something worthy for instance, Gimli, Bilbo, Frodo and Sam.
Pretty Slow Quick Question
'Elves have not over populated the planet as they will only have children if it is likely that both the parents will be arround to bring up the child.'
- but how would anyone know that for sure, don't we all think that we will always be there for our children.

[Edited on 18/1/2003 by Eolynn]
No they mean that there not likely to go off and fight in some war, the parents would probably take a vow not to go off fighting anybody until the child was old ennough to look after it self. they probably would risked being attacked, as it isn't a deffinate possibilty.