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Map of Middle Earth from Lord of the Rings, from the Lord of the Rings books by J.R.R. Tolkien.
The land to the west of what most people think of as Middle Earth is the land that the elves went to when they sailed from the Havens. The Grey Havens or Mithlond was an Elvish port on the Gulf of Lune in the Elven realm of Lindon in Middle-earth.