Most often, the Elves were the only ones who sailed West, because they grew tired of all the misery, death, destruction, etc. that went on in Middle-earth. Of course, there are exceptions to every rule. If a mortal did something extraordinary, and was in dire need of healing, then with the grace of the Valar, they could sail West also, and reach the Undying Lands. That is why Frodo was able to go.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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