Glorfindel died in battle during the First Age, and is the only Elf known to have returned to Middle-earth (probably around 1600 Second Age).
In The Return of the Shadow, Christopher Tolkien states that some time after the publication of The Lord of the Rings, his father "gave a great deal of thought to the matter of Glorfindel" in the book, and decided that it was a "somewhat random use" of a name from The Silmarillion that would probably have been changed, had it been noticed sooner.
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He is introduced in various material relating to the First Age of Middle-earth, including The Silmarillion.