At the end of the Third Age of Middle-earth, many elves, and some hobbits, sail into the West.
What exactly does this mean—where are they sailing to? Do the characters know what to expect, or is it an unknown? The characters speak as if they are going to an afterlife. Doesn't anyone ever sail back?
I know there used to be an island—Númenor—to the west of Middle-earth, and that it sank, Atlantis style.
This is not only explained in The Silmarillion, but in much less detail in the appendices to LoTR, which are definitely worth a read.
Very briefly, originally the world was flat, and the Valar (basically, the gods) dwelled on Valinor in the far west.
When the Elves awoke in Middle-earth, the Valar invited then to join them there, and those who obeyed the summons became known as Eldar. Later, some of the Eldar - including Galadriel - rebelled and came back to Middle-earth.
Much later, at the end of the Second Age, the Men of Númenor themselves rebelled against the command of the Valar that mortals were not allowed in Valinor. The Valar then appealed to Eru - i.e. God - who "bent the world", in other words, made it round, and removed Valinor from the round Earth so that mortals could not sail there.
However it was still permitted for Elves to sail on a "straight sea" and reach Valinor, although they could not then return to Middle-earth.
To understand this, it is helpful to know a brief history of the earlier ages. Valinor, also known as The Undying Lands, or Aman the Blessed, was another continent adjacent to Middle-earth. It was the residence of the Valar, the Maiar, and many Elves (Eldar). It was a land of peace and beauty. After Melkor (Morgoth) stole the Silmarils and poisoned the Two Trees, touching off the War of the Jewels, as recounted in The Silmarillion, many of the Elves, specifically the Noldor, returned to Middle-earth to fight. This took place primarily in the First Age.
In the Second Age, the Island of Númenor grew in power, and became arguably the greatest of the kingdoms of Middle-earth. The men of Númenor were valiant and noble, until they were corrupted by none other than Sauron himself, manipulating them to his own ends. During the reign of Ar-Pharazôn, the great armament was launched, a massive invasion force even the Valar could not repel. So when the men of Númenor touched down, they "laid down their guardianship of the world, and called upon Eru." This resulted in three things:
So that answers where they are sailing to. As far as what to expect, the hobbits really don't. All they know is it is a land of rest. As noted in this question, it did not grant mortals eternal life, so it is not really an 'afterlife', but it was supposed to ease the hurts Frodo, Bilbo, etc. had received in their fight against evil.
Gandalf certainly knew what to expect, having been there for ages past, and some of the elves could conceivably have lived there as well (Galadriel did). Those who had been born in Middle-earth likely had heard stories and descriptions of it from those who had.
As far as sailing back, beings did sail back before Valinor was removed from the world. The aforementioned Noldor came back in great numbers to fight Morgoth (it is worth noting that because of this, many were exiled from Valinor for a time). It was certainly possible and feasible for anyone who liked to sail from Valinor to Middle-earth during this time. However, it is not clear if this would automatically result in some kind of adverse action.
After Valinor was removed from the world, however, we only find one instance recorded of someone sailing back to Middle-earth. That is the five Istari (wizards), who landed at the Gray Havens. This is where Gandalf was given Narya, the Ring of Fire, by Círdan the Shipwright. Presumably anyone wishing to sail back from Valinor would also need the Valar's permission, just as anyone sailing to Valinor needs the Valar's permission.
Its interesting to note that the sun rises in the east and sets in the west, the east brings the birth of a new day, and the west heralds its demise, by such admittedly simplistic logic, I had surmised that "sailing into the west" symbolised the death of those who did so.
The east is change and the future (Sauron is in the east). The west is the past, tradition, and stability (nothing dies there) - it is remembrance and the abode of the dead. The part of Middle-earth that Tolkien focuses upon is set between them (and the conflict between prideful rising powers and old powers that serve and sacrifice themselves).
And yes, I know that Tolkien disliked allegory; he did however enjoy using symbols.
