Usually you dont see the entire world, so you can limit the area you have to include in your shadow map, thus increasing it's resolution. As with other rendering optimizations it's always good to not render what you dont see, meaning you only need to have shadows inside your player's frustum.
Using the sun's direction you can build an oriented bounding box around your frustum. You'll then have to extend that box in the direction of the sun so that it reaches all the way up to your scene/world's roof. This ensures that objects (a tree or tall building for example) that are outside of the player's view but are casting shadows into the player's view are still rendered into your shadow map.
If you extend the obb's size to the roof of your scene and the sun is at an angle(which is pretty much always) then you'll be extending a part of the obb outside of the scene's bounding box. This will lose you a little bit of precision, which you can solve by using a sheared matrix for the sun's projection.