Ending of LOTR: ROTK (unmarked spoilers)

I want to know what everyone's impression of the ending of the end of Lord of the Rings: The Return of the King.

Did anyone else get any weird impressions when you saw them sail off to the "Undying Lands" from Grey Havens?

I had a thought that they were sailing off in a form of euthanasia...

Based upon the facts that:

1. Gandalf was sent back from death until his task was complete. That gives the impression that he must return.

2. The Elves were leaving Middle Earth forever when they left.

3. In none of the Appendices that I've skimmed, I've never heard any mention of any of them again after leaving for the Undying Lands.

Feel free to add your own opinions.