Celeborn is Lord of Lothlórien. He appears primarily in The Fellowship of the Ring. In The Return of the King, he arrives with Galadriel and the people of Lothlórien to attend the wedding of his granddaughter, Arwen Evenstar, to Aragorn.
Celeborn doesn't say much, but he does get in one less than classy line. When he says goodbye to Aragorn, he tells him, "Kinsman, farewell! May your doom be other than mine, and your treasure remain with you to the end!" (6.6.75). This bit about "your doom" being "other than mine" seems to be a jab at Galadriel, who is the treasure of Celeborn's which is not remaining with him to the end. Galadriel sails across to the West without Celeborn, and so they must part, after all of these long years on Middle-earth together. Poor guy.
Celebrian is Galadriel's daughter, Elrond's wife, and mother to Elladan, Elrohir, and Arwen. We find out that her memory is the main thing that drives Elladan and Elrohir to join the Rangers in their orc raids, "forgetting never their mother's torment in the dens of the orcs" (The Fellowship of the Ring 2.1.86).
"The Annals of the Kings and Rulers" tells us a little bit more about that "torment." She is traveling from Rivendell to Lothlórien when orcs attack her party and abduct her. Elladan and Elrohir rescue Celebrian, but not before "she had suffered torment and received a poisoned wound" (A, I.iii.21).
The horrible subtext here is that the orcs may have sexually assaulted her. Tolkien does not come right out and say so, but her sadness after her kidnapping and her feeling that she has "lost all delight in Middle-earth" (A, I.iii.21) suggests a really deep emotional wound left over from her kidnapping. She decides to sail to the West the following year.
Círdan is the keeper of the Grey Havens, the port from where the elves depart to go into the West. He is a great shipbuilder. He is ancient, wise, and keen-eyed.
Elbereth is the name of the Elvish Queen of the Stars. Sam uses Elbereth's name as a password with Frodo in the Tower of Cirith Ungol, because no orc would ever voluntarily say that name. The power of the name of Elbereth is enough to get Sam and Frodo past the Two Watchers at the Tower of Cirith Ungol, with the help of the light of Eärendil in Galadriel's jewel.
In previous books, we have also seen that the mere name Elbereth can do damage to the creatures of the dark: Frodo uses it against the Lord of the Nazgûl at Weathertop (The Fellowship of the Ring 1.11.146) and Sam uses it against Shelob in Torech Ungol (The Two Towers 4.10.9). For more on Elbereth, see our "Character Analysis" of the Valar, below.
Erestor is Elrond's chief counsellor. He attends Aragorn's wedding, along with the rest of Middle-earth.
One of the great elf lords traveling with Elrond and Galadriel to sail into the West at the end of The Return of the King. Frodo and Sam meet him way back in The Fellowship of the Ring. In fact, Gildor is the first elf that Sam sees in The Lord of the Ring series. It's nice to see him here at the end, since he was present at the very beginning of Frodo and Sam's adventures.
Glorfindel is a powerful elf who lives at Rivendell; he is also an advisor of Elrond's. He appears mostly in The Fellowship of the Ring, but he, like all of the other named elvish characters in this series, gets to attend Aragorn's wedding in The Return of the King.
This elf lady is the first of three to fall for mortal guys; the other two are Idril Celebrindal (see Appendix A I.i) and Arwen. Lúthien Tinúviel doesn't come into The Return of the King much; her real place is in The Fellowship of the Ring, when Aragorn sings of her love affair with Beren One-Hand, a mortal man. Lúthien's love of Beren clearly foreshadows her descendant Arwen Undómiel's romance with Aragorn. To get a detailed account of Lúthien Tinúviel, see our "Character Analysis" of her in the The Fellowship of the Ring learning guide.
The Valar basically do not come into The Lord of the Rings (explicitly) at all, except for a few brief mentions in the Appendices to The Return of the King. Their real place is in the Silmarillion, where we discover that they are angelic beings that created and shaped Middle-earth.
The Lord of the Rings does introduce us to one Queen of the Valar, Varda, Queen of the Stars, a.k.a. Elbereth, who appears by name in all three novels as a proof against evil. We don't see her in person, but saying "Elbereth" is enough to scare off both the Ringwraiths and Shelob. Gandalf also name-drops the Valar as a blessing on Aragorn: "Now come the days of the King, and may they be blessed while the thrones of the Valar endure!" (6.5.83)