J.R.R. Tolkien gives the name Valinor to the home of the Valar in The Silmarillion.
Valinor is a region of Aman, the western continent of Tolkien’s world. It is inhabited by the Valar and many of the Maiar, and it contains the city of Valimar and the mountain Pelóri. The realm is associated with the light of the Two Trees, Telperion and Laurelin, before their destruction.
Valinor is often called the Blessed Realm, but it is not identical to all of Aman. Aman is the continent; Valinor is the part of that continent where the Valar dwell. This distinction helps separate the answer from names such as Beleriand, which was a region of Middle-earth during the First Age.
After the destruction of Númenor, Aman was removed from the ordinary physical world. In The Lord of the Rings, departing for the West is therefore a major transition rather than simply a voyage to another nearby country.