Good question, Melilot, and I understand the thoughts that you have. Certainly, as Boromir says, it was an honour for the Hobbits, but why would they choose that over spending their last days in the Shire with their families and being buried there? (This reminds me of Arwen's death - why did she choose to die soon after Aragorn instead of living for her children and grandchildren?)
I wonder if that doesn't echo Tolkien's own experience (and that of many other men); his friendships with Lewis and other colleagues and friends were deeply important to him.
Apparently the bond created among the Fellowship was so strong that other bonds could not compete - with the exception of the marriage bonds. We see the eight who survived seeking each other's fellowship even after going their separate ways for most of their lives. Frodo and Gandalf left Middle-earth together; Legolas and Gimli ditto, after spending their lives traveling together often. Sam also chose to leave M-e instead of staying with his children and grandchildren after Rosie's death. The three remaining members of the Fellowship, who were not allowed to go to Valinor, chose to end their lives together. As far as we know, in most of these cases, the women in the lives of those who were married were already dead; I'm not sure about Merry and Pippin, and of course Aragorn didn't go away from Arwen but left her in death first.
Perhaps it also has something to do with going back to the most memorable experiences one had in life when one gets old? Selective memory or something similar...
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'Mercy!' cried Gandalf. 'If the giving of information is to be the cure of your inquisitiveness, I shall spend all the rest of my days in answering you. What more do you want to know?' 'The whole history of Middle-earth.. .'
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