Specifically, you'll encounter them in:
* The Fellowship of the Ring: Where the Fellowship is formed, Gandalf guides Frodo, Sam, and the other hobbits on their journey to Rivendell, and they meet with the Elves.
* The Two Towers: The Fellowship splits, and Frodo and Sam continue their journey with the help of the Elves of Lothlórien.
* The Return of the King: The Elves play a significant role in the final battle against Sauron, and Frodo and Sam are reunited with Gandalf and other members of the Fellowship.
You can also find them in the movies based on the books, the video games based on the books, and other adaptations of the story.