Are the stars, nebulae, and the like that we see, in the Milky Way or beyond?

Answer

All the stars that we see with the naked eye are indeed in our galaxy, the Milky Way. Incidentally, it is in the Milky Way disk, which we see in the sky as the ‘Milky Way’, that most of the gas nebulae are located. So there is quite a bit of gas in that disc, and also clouds of dust, which prevent us from seeing through the disc.

If we want to look deeper into the universe, we have to do that ‘above’ and ‘below’ the Milky Way. We also see ‘nebulae’, but these are separate galaxies, which in turn also contain clouds of gas and dust.