One could also give directions relative to something outside our galaxy, such as a prominent galaxy or cluster of galaxies more or less on the plane of the Milky Way. Movement around the galactic center would eventually change our position relative to this marker, of course, but differential movement would do the same with regard to stars inside our galaxy.
A Wikipedia article describes a spherical coordinate system for the Milky Way:
http://en.wikipedia.org/wiki/Galactic_plane