Taking the entire milky way as the context, the is sun very close to Alnitak (~800lr) - the closest star in Orion's belt. We're on the same spiral arm (Orion Spur). From the sun, Orion's belt is towards the Orion nebula (~1300 ly) (the belt appears either above or below the nebula, depending on viewpoint from northern or southern hemisphere). Here are the exact relative positions:
http://en.wikipedia.org/wiki/Orion%E2%80%93Cygnus_Arm
http://en.wikipedia.org/wiki/Orion%E2%80%93Cygnus_Arm