Valinor is the Undying Lands. Prior to the end of the Second Age, Arda (the Earth) is flat, and you can sail directly from Middle Earth to Valinor. At the end of the Second Age, the Numenoreans, corrupted by Sauron, violate the Ban of the Valar that prevents mortal man from setting foot on the shores of Valinor, or indeed, sailing west out of sight of Numenor for the fear they might chance upon Valinor accidentally. The Valar appeal to Eru Iluvator (God), and he reshapes the world, making it round, and separating Valinor from the world. From that time forward, only the Eldar (among the races of M.E.) (elves) can sail to the Undying Lands, taking a path granted to them by the Valar that allows them to leave the confines of Arda rather than sail around the world to the opposite shore.
So in the show, the breaking clouds and light represents the path to Valinor available only to the elves, but the problem is that at this point in the Second Age, Arda is still flat and Valinor is still part of the world. Technically speaking, they could have sailed right to it without any mystical bruhaha. It's a canon-buster. But that is the explanation.
The bit of verse spoken by Gandalf to Pippin in the ROTK movie about death not being the end is lifted from another part of LOTR. What it really is is Gandalf (who is Istari, a Maiar, named Olorin in the Undying Lands) describing what it is like to take the path to Valinor, and it is a beautiful piece of writing.