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.
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He leaves with the other Ring Bearers to go to the Undying Lands (Valinor)
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.
Gandalf was sent for a task, and that task is to thwart Sauron, and bring about his destruction. Gandalf is actually Olorin the wisest of the Maiar spirits from Valinor. He was sent over with 4 others to stop Sauron's evil. They were sent in the forms of old men. Gandalf wants to use others to fight Sauron
He does not. After the death of Aragorn 120 years after the end of the War of the Ring, Legolas sails to the West with his dear friend Gimli.
Frodo left the Shire and went to the Undying Lands where he lived with the elves and doesn't die. Frodo sailed to the Undying Lands to live out the rest of his days in the pure beauty of Valinor. It was not within the authority of the Valar to grant immortality to any being not created so. Tuor was the sole exception to this role. No, they could not give him more life. He went to Valinor to be taken care of and to find rest. There was a story called Frodo's Dreme(sp) where he was mostly lonely in Valinor and died unhappy. It was a dream he had before he went and wrote it in the Red book of Westmarch.