I'm not sure what to make of the scene in AUJ where Gandalf and Galadriel are talking in Rivendell and then Galadriel just disappears. Does she teleport? What happens?

That is a good question. According to the books, Galadriel was never credited with the gift of teleportation. Otherwise she could have just teleported to and from the undying lands. No one was gifted with teleportation. This means that G is one of those people who walk away before the conversation is over (how rude!) or it is just another Jacksonism.

I don't think she teleported. I think it's like in ROTK where she helps Frodo up

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She is not actually in front of him. Its a mind trick just like the one in the Lord of the Ring's trilogy as JamesR stated. So when she disappears, she is just stopping her telepathic abilities.