Earth, technically, is in space. What makes us consider something as "on Earth" but not in space is being within Earth's atmosphere, though I suppose you might consider the magnetosphere or our moon as a boundary, and that's not entirely unreasonable. But just like Earth has an atmosphere and a magnetosphere, so our star also has a local "sphere of influence" that separates it somewhat from the galaxy at large. This is called the heliosphere, and while the boundaries are fundamentally fuzzy, it gives us something useful to work with. What makes the heliosphere "be what it is" is solar wind, charged particles emanating from the Sun. As the Sun rotates, these emanations twist and ripple in a rad-looking sheet that looks kinda like this:
It's like a cosmic bathtub drain, but in reverse.
That's called the "heliospheric current sheet," and the analogy to a bathtub drain is particularly apt. If you've ever poured water onto a flat surface, say from a faucet, then you've seen a hydraulic jump like this:
You've thought of astronomy every time you've seen one of these, right?
The point where the column of water touches the basin is analogous to the Sun. The flat-looking circle radiating out corresponds to the heliosphere, and that circular standing wave is where the water flow suddenly slows down in a termination shock, causing the water molecules to pile up on top of each other in a molecular traffic jam. Outside the termination shock, the flow is much more turbulent, and this is rather like the interstellar medium. Now just imagine hundreds of billions of columns of water being poured out onto a giant sink basin, and you'll have a rough idea of what the importance is of getting out of that fast flow area - things outside are so much different than they are on the inside - and Earth has been inside for all of its existence.
Nobody knows what it's like outside, because nothing we've touched has ever been outside. And just like leaving Earth's atmosphere gave us a bunch of surprises from the clearer view, like the Hubble deep field image, I expect we'll get a whole bunch of other remarkable insights from Voyager now that it's getting out into the "clear." One example, thanks to comparing notes from Voyager II, is that the heliosphere isn't a "sphere" per se - it's a little flattened on the Southern side. Currently, Voyager is in the middle of the heliosheath, our word for the termination shock itself (the "cosmic hydraulic jump," if you will). Another interesting tidbit we've found from this is that the heliosheath contains magnetic "bubbles" a hundred million miles across - or about the distance from the Earth to the Sun. This is at a distance of about eleven billion miles away from the Sun.
The bad news is that Voyager is on its way out - it's begun shutting down its systems, while others have failed outright, and is expected to be unable to power even a single instrument sometime between 2025 & 2030. The good news is that even another ten years is a considerable addition to its already impressive 35-year operational span, since Voyager I was launched in 1977. For reference, that's when gas was 65 cents a gallon, the Apple II went on sale, and the DoD was just getting into GPS (other tidbits). Voyager has a storage capacity of about 65MB in the event of a communication breakdown, or less than a tenth of the iPod I carry in my pocket - but I guarantee you that Voyager will still outlast this thing. Which is more useful is another matter entirely - and a matter for debate, as my reference page of apps has a graphing calculator, periodic table, unit converter, formula database, level, and a copy of the US Constitution (and those are just my offline apps!).
OK, Voyager is more useful, hands down. But that's just because we listen to it for a couple hours a day, whereas I only use my iPod to answer the occasional random question I come up with when I'm away from the internet.