This confused me for a long time, too, but I think I've finally got it figured out.
Valinor is a place of peace, and Frodo, Bilbo, and Gimli were much happier there than they would have been in Middle-earth (especially, I think, Frodo and Bilbo). But being in Valinor didn't make them immune to the effects of mortality, and eventually they died. The purpose of bringing them to Valinor was not to make their lives last forever, but rather to make the time that the had left happier and more peaceful, since they had gone through so much and no longer "fit" in Middle-earth. The Elves, however, would have been immmortal no matter where they lived--Valinor or Middle-earth--so Legolas never died.
C'est ca.
~*~Orual~*~
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"Oh, my god! I care so little, I almost passed out!" --Dr. Cox, "Scrubs"
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