A name of Aman, or at least that part of it inhabited by the Valar, Maiar and Elves. The island of Tol Eressëa is several times identified as the easternmost of the Undying Lands, and, at the least, Valinor must also be included.
'Undying Lands' seems to be a name that originated among Men1. The Númenóreans, especially, envied the seemingly endless life of those who lived in these regions. From the first, the Valar placed a Ban on the Men of Númenor, that they should not sail into the West from their island, or set foot on the shores of Aman.
Wise as the Valar were, though, they did not foresee the wiles of Sauron. This great Maia falsely persuaded the last King of Númenor, Ar-Pharazôn, that the ruler of the Undying Lands would be undying himself. Believing Sauron, Ar-Pharazôn assembled a great navy and sailed westward to make hopeless war on the Valar for the imagined prize of endless life.
The Valar could not permit this: Manwë called upon Ilúvatar, and the land of Númenor was destroyed and lost forever. The Undying Lands, which until that time had been part of the World, were removed forever from the reach of Mortal Men, though the Elves could still sail West and come there, if they would.
It is to the Undying Lands that the White Ship sails at the end of The Lord of the Rings. The Ring-bearers, Bilbo and Frodo, were among the very few mortal beings to set foot on the shores of the Undying Lands2. Tolkien is careful to point out, though, that even in Aman, mortals remain mortal.
To an Elf, the condition of being 'undying' would be completely normal and natural - for one of the Firstborn to name a particular region as 'undying' would make little sense.
Apart from Ar-Pharazôn and his army, only a tiny number of mortals had found their way across the Sea before the White Ship sailed. At the end of the Akallabêth, Tolkien hints that some mortals 'by some fate or grace or favour of the Valar... had come to the lamplit quays of Avallónë...'. It is just possible, then (though rather unlikely) that some unusually fortunate mortals had come to the Undying Lands at some point in the Third Age, before the Ring-bearers' ship at the Age's end.
The Silmarillion states, or at least strongly suggests, that Tuor reached the shores of the Undying Lands with Idril. His case is unique, though, because though he was born a Man, he was '...numbered among the elder race, and was joined with the Noldor...', so it may not be quite appropriate to speak of him as a mortal being. The quotation above comes from The Silmarillion 23, Of Tuor and the Fall of Gondolin.
Aman, Aredhel Ar-Feiniel, Avathar, Ban of the Valar, Bay of Balar, Bay of Eldanna, Bent World, Blessed Realm, Circles of the World, Doom of Men, Downfall of Númenor, Eärendil, Elendil Stone, Elladan, Encircling Sea, [See the full list...]
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