Suite101: Have You Been To Valinor Lately? - An examination of Tolkien's Valinorean mythology
"The Valinor myth is the stumbling stone in the path of everyone who seeks to explain Tolkien's world. He had more than one world, he possessed a universe and was a dweller amid many worlds. But all those worlds were touched by the same myth."
Here is a brief excerpt:
Traditionally we assign the Valinorean mythology to The Hobbit, The Lord of the Rings, The Silmarillion, The Road Goes Ever On, and The Adventures of Tom Bombadil (although the only real aspect of it in the latter is the poem "The Last Ship", about a mortal woman who is invited to sail over sea by some Elves). The Valinor mythology, or myth, is the cycle of half-told tales which tells the "Biblical" portion of Tolkien's grand mythology. But Valinor in some ways stands on its own.
The realm of the Valinor is a magical land, far beyond the western seas, where Elves and angels dwell. It is not heaven, not for humankind, and really not for Elven kind. It is simply a paradise which has been denied to Men (although another paradise was set up for Men). Heaven is where God dwells, Iluvatar, Eru, the One, the All-father. In the end we may all meet up there, Elves, Men, Dwarves, and Angels. Or we may not. We don't really know for sure.
While part of the physical world we call Ambar (or Imbar), Valinor was merely another continent out of several. It could be reached by mortal Men, and was, but it was forbidden to them. As for the Elves, Valinor lay beyond the reach of many of them, too, except by death. The mythology of Valinor therefore includes the story of where Elves go when they die. It is not so much an Elf heaven as the final abode for Elven spirits (while Time lasts, that is). That they may be re-embodied there is insubstantial. If an Elf of Middle-earth dies, his or her spirit may pass westward to the Halls of Mandos.
Valinor, however, is also the abode of the rightful guardians of the world, the spiritual powers who are charged with watching over it. Iluvatar may intervene in the world's affairs, as he does more than once, but it is the responsibility of the guardians to at least know what is going on in the world. So even after Iluvatar took Valinor away from this physical world (and that is not to say he didn't make it a separate physical world -- it clearly remained a physical place where living beings could travel to, even if only Elves), the Valar were deeply concerned with events which occurred in the remaining world.
Click on the link below to read the entire article.