In the books of J.R.R. Tolkien, Valinor lies in the central regions of the continent of Aman, in the utmost West of Arda. After the rebellion of Numenor, and the world was made round, Valinor was removed from the circles of the world, and only the Elves remaining in Middle-earth could reach it, following the Straight Road. See The Encyclopedia of Arda http://www.glyphweb.com/arda/default.asp for more data.
Valinor is a place, also known as the Land of the Valar, or the Undying Lands.
The two trees of Valinor are Telperion and Laurelin, respectively the silver and gold tree.
Valinor is a magical land far across the sea where the Valar reside. Many Maia are there as well. It is the place where the Elves go to after they are weary of Middle-earth, and its capital is Valimar.
To the west, where Valinor and Eressea lie.
The Elves were granted passage to Valinor as a reward for their alliance with the Valar. Hobbits and other mortal races, such as Men, were not offered the same privilege because their destiny lies in the mortal lands of Middle-earth, while Valinor was meant as a home for the immortal Elves.
The Tengwar is Tolkien's elvish script in The Lord of the Rings. According to The Silmarillion, it was invented by Feanor in Valinor.
In the Silmarillion and his other writings, Tolkien describes a cosmology where there is a supreme deity (Eru) and lesser beings (the Ainur). Some of the Ainur (called the Valar and Maiar) came down to live and shape Middle Earth, ultimately settling in the extreme westernmost continent of Valinor. At the end of the Second Age of the Sun, Valinor was detached from the rest of Middle Earth by the power of Eru and is now accessible only by the ships of the elves. Many elves live in Valinor and much of the plot of the Silmarillion revolves around events that lead to some of these elves choosing exile. It is decreed that these elves may return to Valinor someday on the grey ships. At the end of LOTR, Frodo is permitted to journey with them to Valinor. Valinor is thus an actual physical continent, to be found in the extreme west or later floating near the world. But Valinor is also in many senses heaven. It is a place where angelic beings dwell in beautiful surroundings and death, disease, and suffering are virtually unknown.
He leaves with the other Ring Bearers to go to the Undying Lands (Valinor)
Not much, actually. But there is Valinor, which is called "The Undying Land" and is where Frodo and the Ring-Bearers went to.
The Elves leaving Middle-earth by ship forever go to the lands of Aman, to the west beyond the Great Sea. There are the lands Valinor and Eldamar, and the isle Tol Eressea. It is the home of the Valar (spirits comparable to minor gods or angels), who a very long time ago invited the Elves to come and live in their lands, and the Elves have been following that call ever since.
Valinor is the abode of the Valar. It lies in the Blessed Realm of the continent of Aman. The Elves live on an island called Tol Erresea. The island is in sight of the land of the Valar. Men are not allowed to go there. Bilbo and Frodo are allowed to go there as a gift because they were ringbearers for an extended period of time, and this would keep them living in comfort for the rest of their days. Gimli is also allowed to enter Aman, the first and the last Dwarf to do this, because the Lady Galadriel, the most powerful of the Noldor in Middle-earth, who had a lot of influence even in Valinor, accounted for him. In some ways it is like a heaven in that gods live there and everyone lives forever, but it was formerly part of the world until it got shifted into a different dimension, which is not usually said of heaven.
The most western sea is the Sundering Seas (aka Belegaer or The Great Sea) that separated Middle-earth from Valinor.