Every star we see in the night sky is lies within our own Milky Way Galaxy.
Only a very few other local group galaxies are visible with the naked eye on a very dark night, Andromeda being the most prominent, the only one visible in the northern hemisphere (often visible even in light-polluted areas). Containing somewhere between 100 and 400 billion stars and perhaps as many planets, the Milky Way is approximately 110,000 light years across. Our solar system is located approximately 27,000 light years from the Milky Way’s galactic center, roughly near the brightest part of the image below, in the constellation Sagittarius.
The image below was captured in August of 2013 at Turquoise Lake, Colorado during the Perseid meteor showers. It is a composite of 2 minutes worth of exposure time (four exposures at 30 seconds each), with visible stars removed in order to more clearly illustrate the structure of our galaxy. The bright areas that are shown are that of un-resolved stars and other matter that lie within the Galactic plane, while the stars that are undoubtedly ‘behind’ the dark area are obscured by interstellar dust.
Keeping in mind that light travels at a speed of 186,000 miles per second, virtually everything we see in the night sky (except for the moon and planets) is a very, very long distance from Earth.