"About all the World are the Ilurambar, or Walls of the World. They are as ice and glass and steel, being above all imagination of the Children of Earth
cold, transparent and hard."
in volume 4 of The History of Middle-earth
The walls formed by a great crystalline globe the enclosed the flat World of Arda, separating and protecting it from the surrounding Outer Void. Also called the Walls of Night, or by the ancient Elvish name Ilumrambar, they extended upward above the World and downward beneath its roots.
The Walls were impenetrably hard, but they contained at least one portal into the Void beyond: the Door of Night. According to some accounts this was created by the Valar to allow the passage of Sun (with the equivalent Gates of Morning in the east). The Door of Night was also used to expel Morgoth from the World at the close of the First Age, after which it was perpetually watched by the Valar to prevent his return.2
The idea of the Walls of the World evolved over the years in Tolkien's imagination. In earlier versions of the stories, they did not form a solid sphere, but simply surrounded the World as walls might surround a city. In this conception, the walls had a top and could be crossed, and remnants of this idea survive even into the published Silmarillion. So we have references such as '...[Melkor] passed therefore over the Walls of Night with his host...' (Quenta Silmarillion 1, Of the Beginning of Days) something that should have been impossible in the later conception.
Christopher Tolkien addresses these issues in volume 10 of The History of Middle-earth. Though no complete reconciliation is realistically possible, he does make the useful suggestion there that we can imagine two sets of Walls. On this model, outer walls (Éarambar) held out the Void around Arda, and can be seen as a spherical 'shell', while inner walls (Ilumrambar) surrounded the World more like an encircling 'fence'. While not a complete solution, this does go some way to resolving the apparent contradictions.
The Door of Night (through which the Sun and Moon passed as they set) is established as having been in the Walls of the World. The Gates of Morning in the east performed the opposite function: it was through them that the Sun and Moon would rise in the distant east. It seems to follow that the Gates of Morning would also have been in the Walls of the World, though that is never categorically stated.
The fact that Melkor was prevented by the Walls from returning to the World raises some difficult questions after the 'bending' of the World into a round shape at the time of the Downfall of Númenor. After this point the World no longer appears to have Walls, raising the question of why Melkor did not simply return once the Walls were removed.
We're not given a direct solution to this problem, but perhaps the idea of a round World is a no more than a Mortal perspective on matters. If this is correct, then the Walls would continue to exist in some sense; presumably from the point of view of dwellers in Aman, even after its change of shape for Mortals, Arda would have retained its flat shape and enclosing crystalline Walls.
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