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The Uttermost West

A name for the continent in the far western sea of Belegaer, in the distant West of the World, beyond the Enchanted Isles and the Shadowy Seas, where lay Aman and the realm of Valinor, kingdom of the Valar. Also known as the Undying Lands, this continent was once part of Arda (the Earth), however even during the First Age these were difficult regions to reach, because the Valar had filled the seas eastward of their realm with enchantments and shadows.
When Men were settled on Númenor the Valar explicitly forbade them from sailing into the Uttermost West - the so-called Ban of the Valar - and it was the breaking of this Ban that led to the Downfall of Númenor. In the Second Age when Ar-Pharazôn, king of Númenor, attempted to sail there with his armada, Aman was removed from the circles of the world by Eru Ilúvatar.
Henceforth, Aman existed outside the bounds of Arda, so that the Uttermost West could never be reached by mortal mariners except by special grace, and could only be reached by Elves whose magical ships could take the "Straight Road" out of Arda. The choice was given to Elves to leave Middle-earth and return to this paradise they had once known in ancient times. As the world darkened during the War of the Ring in the Third Age, many Elves took part in this migration, leaving Middle-earth forever.[1]
The Undying Lands of Aman encompassed the realm of Valinor, the Pelóri mountains, the Enchanted Isles, the wastelands of Araman and Avanthar, and the Elf havens and cities of Eldamar, Tol Eressëa, Tirion, and Alqualondë.[2]
The Undying Lands were likely thus called like that because immortals dwelled in them, not because they granted immortality.[3]