Wouldn't YOU want to go to Valinor!? Lol.
Their time was ending. If they stayed then the Time of Men wouldn't have come to be, and that would interfere with the future. Everything is changing, and it makes them sad, so they leave to where they can rest in peace and beauty without death and hardship.
I'd much prefer to live in Valinor!
probably, although it would be all advertisements
for free transoport to valinor call 0800-icontrolltheeagles and as for manwe
come see the the 'bones of bilbo baggings' in the underwater museum of ulmo
learn to ride ad how to discover new civilisations with me...orome....call 0800-idiscoveredtheelves
who would walk around with that on teir back