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The Ringbearers & the Elves are going to Valinor, the Undying Lands
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Not quite. The Elves were going to Valinor and so was Gandalf, but the Ringbearers went to Tol Eresseä, an island before the Undying Lands. No mortal was allowed to set foot on Valinor, except one, Eärendil, but that's all part of the Silmarillion.
The second question is somewhat more difficult.
Gandalf is one of the five Istari, which are Maiar. When in Middle-earth the first signs appeared that Sauron reappeared the Valar took council together. They decided that a couple of Maiar should go to Middle-earth as emmisaries for the Valar. The Maiar were to be going in form of mortals or immortals, which would make them weaker for they could in this way hunger, parch or be slain. Also they were to use their full power against Sauron. They could not fight Sauron's force by their own force, neither were they allowed to rule men or other races by power or fear. They were to reunite the races of M-e by puting hope in their harts and giving council.
That's why Gandalf never used his full power, he just wasn't allowed to use it.
Try find the Silmarillion, many of your questions will be answered when you've read it [img]smilies/smile.gif[/img]
hope this will do for the time,
greetings,
lathspell