The Grey Havens:
A coastal town in the Gulf of Lhûn. This was Círdan's residence from the beginning of the Second Age of the Sun until some point in the Fourth Age, when he too took ship into the West.
By some time in the Third Age, this was the point from which the vast majority of the Eldar left Middle-Earth via the Straight Road. Apparently, many had at one point left from a location near or within Gondor at some point, but by the time of the War of the Ring, unless the elf wanted to construct his own ship, the Grey Havens were their only port.
Another name for the Grey Havens was Mithlond.