Halls of Mandos
The Halls of Mandos stand on the northern shores of Valinor and are where undying spirits go upon the death of their physical form.
The spirits of all Elves who die get sent to the Halls of Mandos, there to linger until they are born again, such as what happened with Glorfindel. The Race of Men specifically do not go to the Halls of Mandos when they die. In fact, none in Arda, not even the Valar themselves, know what becomes of Men upon death.
The Halls of Mandos are the domain of Námo, the Doomsman of the Valar. While Mandos is the proper name of the Halls, it is also sometimes used synonymously with Námo. For three ages, Morgoth was held prisoner in these halls, and was freed by Mandos himself only upon Morgoth's oath of penitence and submission, which he did in the end break and thus was cursed.