The Solar System is located inside the "Local Bubble", which is a cavity in the interstellar medium (ISM) in the Orion Arm of the Milky Way. It contains, among others, the Local Interstellar Cloud and the G-cloud.
The Local Interstellar Cloud
The Local Interstellar Cloud (LIC), also known as the Local Fluff, is the interstellar cloud roughly 30 light-years (9.2 pc) across through which the Solar System is currently moving. Next to the Local Interstellar Cloud is the G-Cloud (or G-Cloud complex) which contains the stars Alpha Centauri - a triple star system that includes Proxima Centauri - Altair and possibly others. The Local Interstellar Cloud has a temperature of about 7,000 Kelvin, about the same temperature as the surface of the Sun.
However, its specific heat capacity is very low because it is not very dense (0.3 atoms/cm3). This is less dense than the average for the interstellar medium in the Milky Way (0.5 atoms/cm3), though six times denser than the gas in the Local Bubble (0.05 atoms/cm3) which surrounds the local cloud. The Local Interstellar Cloud's potential effects on the Solar System are prevented by the solar wind and the Sun's magnetic field.
The Local Bubble
The Local Bubble is at least 300 light years across. The very sparse, hot gas of the Local Bubble is the result of supernovae that exploded within the past ten to twenty million years. It was once thought that the most likely candidate for the remains of this supernova was Geminga ("Gemini gamma-ray source"), a pulsar in the constellation Gemini. More recently, however, it has been suggested that multiple supernovae in subgroup B1 of the Pleiades moving group were more likely responsible, becoming a remnant supershell.