Valinor was where the gods, or Valar, of Middle-Earth dwelt; it lay far over the western sea. In the age of The Silmarillion, there were comings and goings to it all the time (by the standards of elves that is) but by the LOTR, it was only a legend to mortals.
This illustration by Michael Naismith emphasizes the land’s otherworldly nature. Only conifer trees grow there (some kind of arbor vitae, or cedar maybe) and the grass is very green. At the top of gigantic, needle-like Mt. Taniquetil lie the Halls of Manwe, the leader of the gods. Tolkien’s own Illustration of Taniquetil is below. Oddly it’s depicted as being on the coast, not inland as The Silmarillion says. He likely painted it while his conception of Valinor was still coming together.
Even the lands of deities can be mapped.
This map shows the far western continent of Aman where Valinor is situated. The two names may beĀ interchangeable; I’m not sure. Most depictions show this continent as crescent-shaped with the world-encircling sea lapping its western shores. That is, the sea that existed before Arda was made round. Then the continent was placed into a pocket dimension above and beyond the physical world, accessible only to the elves who sailed the “Straight Road.” At the continent’s northern tip it curves around and connects to the main continent of Middle-Earth, a sort of Bering land strait if you will. The map below goes into waaaay more detail.
This map is gorgeously detailed, but I’m note sure if it was compiled from the whole of Tolkien’s work (which includes 10 volumes of his Histories of Middle-Earth!) or if it’s from an RPG or other online game.