Douglas Adams once wrote,
Space is big. Really big. You just won't believe how vastly hugely mind-bogglingly big it is. I mean, you may think it's a long way down the road to the chemist, but that's just peanuts to space.
Phil Plait from the Bad Astronomy Blog recently posted about "the deepest ground-based look into the universe ever undertaken." I've put a compressed image below, but I would highly recommend downloading the 32MB full resolution image (The ESO reorganized their site. The image can now be found here. It's offered in several resolutions, including a gigantic 78.6 MB tiff. You could also use this flickr link instead, for a slightly lower res version). Don't be fooled - most of those smudges of light aren't individual stars; they're galaxies.
Okay, to give an idea of scale, I've superimposed that image onto the moon, to show how much of our field of view it takes up (If you make a thumbs up sign and hold it at arm's length, the full moon's about the size of your thumb nail). Not just that, but notice that little white square in the top left corner of the superimposed image? Well, I put the full size of that portion on the right. Note that in the image above that that region appears to be pretty empty, but once you zoom in on it, you can see there's still a lot there. And remember, those are galaxies, not individual stars. That's why it's so impresive to download the full size image and just scroll around it.
Okay, to put this into a little more perspective, I did a rough calculation. It seems like people like comparing stars to grains of sand. Well, it's been estimated that our galaxy contains around 100 billion (1 x 1011) stars. For a rough calculation, let's assume we have spherical grains of sand around 0.5mm in diameter (source), or about .02 inches in diameter. I won't bore you with the calculations, but 100 billion grains of sand would have a combined volume of 231 cubic feet. Assuming a 64% packing ratio (because there're going to be air spaces in between the grains), you'd actually need a container of around 361 cubic feet to hold all that sand, which works out to a cube of around 7 ft. per side.
So, the point of all that calculation - if you had a 7'x7'x7' container full of sand, that's about how many stars there are in our galaxy. Assuming we have an average size galaxy (some are bigger, some are smaller), just about every smudge of light in the image above represents around that many stars. I really can't even begin to comprehend that - all I can do is describe it. Scrolling around that full size image gives me butterflies in my stomach thinking about just how big this universe is.
Added 2008-11-14 Okay, that assumption about our galaxy being typical has been bugging me a bit. I still haven't been able to find a good source showing the distribution of sizes of galaxies (admittedly, I haven't looked very hard), but Wikipedia says that most galaxies range in size from 10 million to 1 trillion stars. So, repeating the calculations I did earlier with that star count, it would take a 15x15x15 ft cube to hold a trillion grains of sand, and a 4x4x4 inch cube to hold 10 million. Now, a 4" cube may not be all that big compared to the 15' one, but that's still a lot of grains of sand.
Now, just to add one more bit of comparison, if you're in a dark area on a clear night, you could probably see around 2000 individual stars with your naked eye (since you can't resolve individual stars in the Milky Way or 3 three galaxies you can see with the naked eye, the Andromeda Galaxy, The Large Magellanic Cloud and the Small Magellanic Cloud - source1, source 2). It would only take a 1/4 inch cube to hold that many grains of sand.
So now, when you look at the picture, you'll have a slightly more accurate guess of how many stars each one of those smudges of light represents.
I'll also add that after working on this entry yesterday, and then staring up at the night sky with a near full moon for comparison, it made me feel tiny.