The Grey Havens (Mithlond) were an elvish port and city located at the mouth of the River Lhun. They were established by Gil-galad, Círdan, and the elves of Lindon at the start of the Second Age, as the capital of Lindon, and the major port for elves wishing to take ship to the Undying Lands.

At the end of the Third Age, Frodo and Bilbo, together with Gandalf, Galadriel, Elrond and many other Elves, took leave of Middle-earth from the Grey Havens, in a white ship prepared for them by Círdan.
Encyclopedia entry originally written by PotbellyHairyfoot