I always thought one of the saddest things about the Elves' fate was that they had to watch the decaying of the splendour of the world and the passing of beautiful things that could not be created again. In that way I think that the race of Men has the better deal, because they do not have to see the withering and decay of what was once beautiful, nor can they remember better times.
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Tolkien writes that the Elves leave Middle-earth when they get tired and wearisome of it, but I don't think that Tolkien ment tired and wearisome for their love of middle-earth, but for the marrings and troubles it had.
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I think that's probably exactly what it was like for the Elves. Imagine building your home in the middle of a pristine forest alongside a beautiful sparkling lake, and then living long enough to see the air polluted, the trees cut down, and the water filled with toxic chemicals. Or imagine seeing a splendid castle newly built when you were young, and then over the years seeing it fall into decay and disrepair. That would probably be what it was like for the Elves to watch the decline of Middle Earth. It would be so sad to always have that memory of a better time and a more beautiful place, and to always have the knowledge that things now were worse than they had been before. Actually, that was kind of a feeling that I picked up repeatedly when I read Tolkien's
Letters - the feeling that things had once been better, but Tolkien himself was living in a declining world. Really quite sad, but I suppose that's another topic for another day.
As for the passing of beautiful things that could not be created again, Mahal brought up the swanboats that were destroyed in
The Silmarillion . The Silmarils and the Two Trees of Valinor are more examples of things that, once lost, could never be recreated. Think how painful it would be to live for thousands of years with the memory of such beauty and the knowledge that it had passed out of existence forever.