The universe contains hundreds of billions of galaxies, from the smallest dwarf galaxies with "just" 10 million stars to giant elliptical galaxies with more than a trillion stars. Our Milky Way is a medium-sized galaxy, quite usual.
Just as stars group together in galaxies, galaxies also don't live alone in the universe; due to their gravitation they join together in groups and clusters of galaxies. The Milky Way is part of the so-called Local Group, a group of more than 50 galaxies contained within a radius of 10 million light years. Together with many other groups of galaxies we belong to the Virgo Supercluster, an accumulation of tens of thousands of galaxies. These superclusters form filaments, the largest structures in the universe. You can imagine this structure as a gigantic sponge with many "empty spaces" (also called voids) and matter around these voids, the filaments. We also have some images of the large scale universe on Sun.org.