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As far as I know nearly all stars we know about are contained within galaxies or globular clusters. Just about all the individual stars you see looking up at night are within a couple of thousand light years. There are always exceptions, of course, but you can be pretty safe in saying we're just seeing the local neighbourhood. So we are looking through these stars to see the galaxies beyond.
As for intergalactic stars, I've read that it is one of the current holy grails, to be the first to find a star floating about between galaxies. It's thought they must be out there but they haven't been identified yet.
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