If you are lucky enough to have stored up some good miles you can get quite far. In general, staying within western Europe is about 20,000 per trip, and the same for within southeast Asia. United also has an excellent set of partner airlines through the Star Alliance.
Follow this link to United's site for the latest specifics. Tips and info specific to redeeming miles with United will be documented on this page.
When United issues you a ticket, you must either have it mailed to you (difficult when on the road), or you can pick it up at a United ticket counter (not GSA offices!!!). This means you must find your way to an airport which serves United flights (not partner or shared code flights). My whole itinerary had to be juggled when I discovered this--now I have to plan enough in advance where I can pick up my tickets. Unfortunately my schedule is slightly less flexible because of this.
British Midland is offering a round trip ticket for only 10k miles for the rest of 2000. I have reworked my itinerary to take advantage of this, e.g. I will probably fly from Copenhagen to Dublin, make my way to Edinburgh, and then fly to Amsterdam--for only 20k miles.
Lufthansa redemptions fly to and from Germany, but don't distinguish between airports. So while a round trip will still cost you 20k miles, you do not have to travel to any of the same airports as long as the middle two are somewhere in Germany. For one round-trip ticket I will start in London, go to Berlin, catch trains to Prague, Vienna, and then to Munich where I will fly to Stockholm.