To understand this, it is helpful to know a brief history of the earlier ages. Valinor, also known as The Undying Lands, or Aman the Blessed, was another continent adjacent to Middle-Earth. It was the residence of the Vala, the Maiar, and many Elves (Eldar). It was a land of peace and beauty. After Melkor (Morgoth) stole the Silmarils and poisoned the Two Trees, touching off the War of the Jewels, as recounted in The Silmarillion, many of the elves, specifically the Noldor, returned to Middle-Earth to fight. This took place primarily in the First Age.
In the Second Age, the Island of Numenor grew in power, and became arguably the greatest of the kingdoms of Middle-Earth. The men of Numenor were valiant and noble, until they were corrupted by none other than Sauron himself, manipulating them to his own ends. During the reign of Ar-Pharazôn, the great armament was launched, a massive invasion force even the Vala could not repel. So when the men of Numenor touched down, they
laid down their guardianship of the world, and called upon Eru. This resulted in three things:
- First, the invasion force was trapped underground until Dagor Dagorath, or The Last Battle
- Second, the Island of Numenor was sunk beneath the ocean, and no longer accessible to men
- Third, and most importantly, Valinor was removed from the circles of the world, and could only be accessed by sailing a specific path, and only by those the Vala allowed (mainly elves, and a few other notable exceptions)
So that answers where they are sailing to. As far as what to expect, the hobbits really don't. All they know is it is a land of rest. As noted in this question, it did not grant mortals eternal life, so it is not really an 'afterlife', but it was supposed to ease the hurts Frodo, Bilbo, etc had received in their fight against evil. Gandalf certainly knew what to expect, having been there for ages past, and some of the elves could conceivably have lived there as well (Galadriel did). Those who had been born in Middle-earth likely had heard stories and descriptions of it from those who had.
As far as sailing back, beings did sail back before Valinor was removed from the world. The aforementioned Noldor came back in great numbers to fight Morgoth (it is worth noting that because of this, many were exiled from Valinor for a time. It was certainly possible and feasible for anyone who liked to sail from Valinor to Middle-Earth during this time. However, it is not clear if this would automatically result in some kind of adverse action.
After Valinor was removed from the world, however, we only find one instance recorded of someone sailing back to Middle-Earth. That is the five Istari (wizards), who landed at the Gray Havens. This is where Gandalf was given Narya, the Ring of Fire, by Cirdan the Shipwright. Presumably anyone wishing to sail back from Valinor would also need the Vala's permission, just as anyone sailing to Valinor needs the Vala's permission.