The Havens

Could someone please give me a good explanation as to what exactly the Havens are? I just finished reading the book and I must say that even though I thought the ending was appropriate, I wish it had ended different. And why did Frodo go to the Havens? I see why Bilbo did; he was about ready to die. But why did Frodo have to leave if the Shire was peaceful again? Any help would be great...
Thanx...