Mandos - The Halls of Waiting
The  Fëanturi, masters of spirits, are brethren, and they are called most  often Mandos and Lórien.  Yet these are rightly the names of the places  of their dwelling, and their true names are Námo and Irmo.
Námo  the elder dwells in Mandos, which is westward in Valinor.  He is the  keeper of the Houses of the Dead, and the summoner of the spirits of the  slain.
Vairë  the Weaver is his spouse, who weaves all things that have ever been in  Time into her storied webs, and the halls of Mandos that ever widen as  they ages pass are clothed with them.
...  Nienna, sister of the  Fëanturi.  She dwells alone.  She is aquainted  with grief, and mourns for every wound that Arda has suffered in the  marring of Melkor. ... But she does not weep for herself; and those who  hearken to her learn pity, and endurance in hope. ... She goes rather to  the halls of Mandos, which are near her own; and all those who wait in  Mandos cry to her, for she brings strength to the spirit and turns  sorrow to wisdom.
Silmarillion, Valaquenta
It is one with this gift [by Ilúvatar]  of freedom that the children of Men dwell only a short space in the  world alive, and are not bound to it, and depart soon whither the Elves  know not.  Whereas the Elves remain until the end of days.... For the  Elves die not till the world dies, unless they are slain or waste in  grief (and to both these seeming deaths they are subject); neither does  age subdue their strength ... and dying they are gathered into the halls  of Mandos in Valinor, whence they may in time return.  But the sons of  Men die indeed, and leave the world.... Death is their fate, the gift of   Ilúvatar, which as Time wears even the Powers shall envy. ... Yet of  old the Valar declared to the Elves in Valinor that Men shall join in  the Second Music of the Ainur; whereas  Ilúvatar has not revealed what  he purposes for the Elves after the World's end, and Melkor has not  discovered it.
Silmarillion, "Of the Beginning of Days"
What  may befall [Human] spirits after death the Elves know not.  Some say  that they too go to the halls of Mandos; but their place of waiting  there is not that of the Elves, and Mandos under  Ilúvatar alone save  Manwë knows wither they go after the time of recollection in those  silent halls beside the Outer Sea.  None has ever come back from the  mansions of the dead, save only Beren son of Barahir, whose hand had  touched a Silmaril; but he never spoke afterward to mortal Men.  The  fate of Men after death, maybe, is not in the hands of the Valar, nor  was all foretold in the Music of the Ainur..
Silmarillion, "Of Men"
[I *think* he means "of all beings lower than  Ilúvatar, only Mandos and Manwë know ...".]
[Lúthien] set her arms around Beren, and kissed him, bidding him await her beyond the Western Sea....
The  spirit of Beren at her bidding tarried in the halls of  Mandos,  unwilling to leave the world, until  Lúthien came to say her last  farewell upon the dim shores of the Outer Sea, whence Men that die set  out never to return.   But the spirit of  Lúthien fell down into  darkness, and at the last it fled, and her body lay like a flower that  is suddenly cut off and lies for a while unwithered on the grass
...  But  Lúthien came to the halls of Mandos, where are the appointed  places of the Eldalië, beyond the mansions of the West upon the confines  of the world.  There those that wait sit in the shadow of their  thought. ... and she knelt before Mandos and sang to him ... and Mandos  was moved to pity, who never before was so moved, nor has been since.
Therefore  he summoned Beren, and even as  Lúthien had spoken in the hour of his  death they met again beyond the Western Sea.  But Mandos had no power to  withhold the spirits of Men that were dead within the confines of the  world, after their time of waiting; nor should he change the fates of  the Children of  Ilúvatar.
...
These  were the choices that he gave to  Lúthien.  Because of her labours and  her sorrow, she should be released from Mandos, and go to Valimar, there  to dwell until the world's ending among the Valar, forgetting all  griefs that her life had known.  Thither Beren could not come.  For it  was not permitted to the Valar to withhold Death from him, which is the  gift of  Ilúvatar to Men.
But  the other choice was this:  that she might return to Middle-earth, and  take with her Beren, there to dwell again, but without certitude of life  or joy.  Then she would become mortal, and subject to a second death,  even as he; and ere long she would leave the world for ever.
Silmarillion, "Of Beren and Lúthien"
Lúthien  went to Menegroth and healed the winter of Thingol with the touch of  her hand.  But Melian looked in her eyes and read the doom that was  written there, and turned away; for she knew that a parting beyond the  end of the world had come between them, and no grief of loss has ever  been heavier than the grief of Melian the Maia in that hour.
Silmarillion, "Of the Fifth Battle"
[to the rebelling Noldor:]
'...  For though Eru appointed  to you to not die in Eä, and no sickness may  assail you, yet slain ye may be, and slain ye shall be:  by weapon and  by torment and by grief; and your houseless spirits shall come then to  Mandos.  There long shall ye abide and yearn for your bodies, and find  little pity though all whom ye have slain should entreat for you.  And  those that endure in Middle-earth and come not to Mandos shall grow  weary of the world as with a great burden, and shall wane, and become as  shadows of regret before the younger race that cometh after.'
Silmarillion, "Of the Flight of the Noldor"
It  is indeed unhappy,' said Míriel, 'and I would weep, if I were not so  weary.' ...  She went then to the gardens of  Lórien and lay down to  sleep; but though she seemed to sleep, her spirit indeed departed from  her body, and passed in silence to the halls of Mandos.
Silmarillion, "Of Fëanor"
[Finwë] knew that he should not see [Elwë] again, unless it were in the halls of Mandos.
Silmarillion, "Of Eldamar"
[Fëanor's] likeness has never again appeared in Arda, nor has his spirit left the halls of Mandos.
Silmarillion, "Of the Return of the Noldor"
[on the accidental death of an Elf with whom he had recently quarreled:]
'I  did not will it, but I do not mourn it,' said Túrin.  'May Mandos judge  him justly; and if ever he return to the lands of the living, may he  prove wiser.'
Unfinished Tales, "Narn i Hnîn Húrin"
Aforetimes  it was held among the Elves in Middle-earth that dying the Dwarves  returned to the earth and the stone of which they were made; yet this is  not their own belief.  For they say that Aulë the Maker, whom they call  Mahal, cares for them, and gathers them to Mandos into halls set apart;  and that he declared to their Fathers of old that  Ilúvatar will hallow  them and give them a place among the Children in the End.  Then their  part shall be to serve  Aulë and to aid him in the remaking of Arda  after the Last Battle.  They say also that the Seven Fathers of the  Dwarves return to live among their own kin and to bear again their  ancient names:  of whom Durin was the most renowned in after ages.
Silmarillion, "Of Aulë  and Yavanna"
But  when the Battle was ended ... the Valar drew Melkor back to Valinor,  bound hand and foot, and blindfolded.... And he was cast into prison in  the fastness of Mandos, whence none can escape, neither Vala, nor Elf,  nor mortal Man.  Vast and strong are those halls, and they were built in  the west of the land of Aman.  There was Melkor doomed to abide for  three ages long, before his cause should be tried anew, or he should  plead again for pardon.
Silmarillion, "Of the Coming of the Elves"
Geography notes:
Going west from Middle-earth, you encounter the Western (or Inner) Sea.
Crossing  that (perhaps with a stopover in Númenor), you come to the continent of  Aman,  which is the Far West and the Undying Lands.
Moving  west across the continent, you pass the Pelóri Mountains, the plain of  Valinor which contains the city of Valimar and the homes of the Ainur,  and come to the shores of the Outer Sea.   The halls of Mandos are on  this farthest shore, looking out  toward the Void.
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