[Alchisiel]

I think the reason Arwen went to Lothlorien to die is that is where she and Aragorn fell in love. It had a lot of memories for her. I think that's the same reason Pippin and Merry went to Gondor/Rohan. There were a lot of memories there for them and they both were very honored "guests" so why not go back there? I think it's the same as when someone dies and is cremated they want their ashes placed in the ocean or placed on a particular piece of land that was special to them.

With Merry and Pippin they might have reached the fullfillment of their lives and so they left the Shire. I don't know. I think with Arwen the sorrow she felt was so great that she didn't want to live anymore. I'm sure there is a special signifigance to it but someone smarter than me will have to figure that out.

Just my thoughts.