There is now no ship...

[Sauron the White]

from Lord Gothmog

The only ones we know of for certain are Bilbo and Frodo, both of whom were allowed into the West to have a chance to heal in sprit before dying and leaving Arda.

What about Sam? At the end of Appendix B, Year 1482 it talks about the death of Rosie his wife and says

"Among the tradition is handed dwon from Elanor that Samwise passed the Towers, and went to the Grey Havens, and passed over the Sea, last of the Ringbearers."

By my count that would mean that a majority - five out of nine - of the Fellowship went over the Sea..... Frodo, Gandalf, Legolas, Gimli, and Sam. Thats a good deal of exceptions to the rule.