Our sun is one of approximately 100 billion stars that are all orbiting around their mutual center of mass. Conservation of angular momentum has compressed these orbits into a large disc, and we are about two-thirds of the way out to the edge

If you can find a reasonably dark place to look up, you will see this disc of uncountable stars, flung out across the sky in a mottled strip:

Here's what that looks like when you consider the whole sky:

Here's a slightly more irreverant take on the question of the Milky Way, from The Straight Dope.

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