As I think I already wrote somewhere else, I would choose Lothlórien, but I wouldn't also mind waiting a bit on the Western Shores of Middle Earth for my Ship to come, which will bring me beyond the World itself, you know exactly where :P
So, let's say, I choose Lothlórien until the end of the War of the Ring (I don't totally want to miss the Lady cleansing Dol Guldur), to make, then, the journey with Galadriel to the Grey Havens.
In the books, in ROTK, Elrond, Galadriel and other High Elves journey to the West of Middle Earth from Rivendell, meeting halfway Frodo and the other Hobbits, to reach the Grey Havens at the end, where Gandalf has been waiting for them.
Tolkien writes that the passing of the Elves was something really magical and ethereal, characterised by a sort of 'Blessed Sadness' as those mighty Elves would have left the World forever.
This is one of the things I'm fond of the most about Tolkien, iconic moments I would really experience directly in another World and dimension ;)
(https://australianwargamer.files.wordpress.com/2011/08/lord_of_the_rings_the_battle_for_middle-earth_2_the-1.jpg)