The word "west" is a Germanic word passed into some Romance languages (ouest in French, oest in Catalan, ovest in Italian, oeste in Spanish and Portuguese). It stems from the Indo-European root *wes reduced from *wes-pero 'evening, night' which is related to Old Greek hesperos and Latin vesper 'evening; west'.
Moving continuously west is following a circle of latitude.
The phrase "the West" is often spoken in reference to the Western world, which includes the European Union (also the EFTA countries), the Americas, Israel, Australia, New Zealand and (in part) South Africa.
The concept of the Western part of the earth has its roots in the Western Roman Empire and the Western Christianity. During the Cold War "the West" was often used to refer to the NATO camp as opposed to the Warsaw Pact and non-aligned nations. The expression survives, with an increasingly ambiguous meaning.
In Chinese Buddhism, the West represents movement toward the Buddha or enlightenment (see Journey to the West). The ancient Aztecs believed that the West was the realm of the great goddess of water, mist, and maize. In Ancient Egypt, the West was considered to be the portal to the netherworld, and is the cardinal direction regarded in connection with death, though not always with a negative connotation. Ancient Egyptians also believed that the Goddess Amunet was a personification of the West. The Celts believed that beyond the western sea off the edges of all maps lay the Otherworld, or Afterlife.
In Judaism, west is seen to be toward the Shekinah (presence) of God, as in Jewish history the Tabernacle and subsequent Jerusalem Temple faced east, with God's Presence in the Holy of Holies up the steps to the west. According to the Bible, the Israelites crossed the Jordan River westward into the Promised Land. In Islam, while in India, people pray facing towards the west as in respect to India, Mecca is in the West-ward direction.
Tolkien used it symbolically, with the dying Thorin calling Bilbo Baggins "child of the kindly West" in The Hobbit. This is much more definite in The Lord of the Rings, where the east served Sauron and his enemies associate themselves with the West.
In Saberhagen’s Empire of the East series, the rival powers are West and East, including both humans and supernatural beings. All demons are part of the East.
This is not universal. In Tolkien's earlier work, the north had been the direction of evil. C S Lewis in The Voyage of the Dawn Treader has the east as the sacred direction, leading to Aslan's country