The universe is so incredibly large that it's difficult to know where to begin when trying to visualize its size. This video should help you get your head around that very problem.
Pete Edwards from the University of Durham, UK, does a good job of explaining things here—with a grain of sand as a frame of reference. If our entire solar system was the size of a grain of sand, the Milky Way would be 1000 times bigger than a cathedral in comparison. And if the Milky Way were the size of a grain of sand, the universe would be the size of a cathedral. So, yeah, the universe. Pretty large. [YouTube]