Yes, Servant - that is exactly what I was talking about. See I didn't know that mr. Crow wasn't familiar with those concepts.

Now that I think of it, perhaps it's better to resort to just using spheres with more or less polygons. (Render targets and FBO's can be a mouthful, but as Servant mentioned, they really will deliver in terms of performance, if you require many "objects" to show at once.)

Most Graphics APIs (or their extensions) allow creation of spheres given a number of slices. Those can be difficult to texture map, so perhaps you can benefit from doing a little shader programming. It shouldn't take too much effort, though. As with the skybox, those can also be positioned relative to the camera in a manner that make them seem much further away than they really are. (Barrows has some insightful comments on measurements)

You could divide it's size by a certain amount, and then scale its position by the inverse. (I'm not sure the two measurements will be proportional, you'll probably have to square one of them.) It may be necessary to disable drawing to the depth buffer, so nothing drawn afterwards will reveal the trick.

There's so much smoke and so many mirrors available to use, it can be difficult to pick between them. ... But remember to pick.

Once you have set up a wrapper for rendering to textures, the extra work isn't really that bad, and you will benefit from it in the long run.

(Using FBOs in OpenGL)

http://www.gamedev.net/page/resources/_/technical/opengl/opengl-frame-buffer-object-101-r2331

http://www.gamedev.net/page/resources/_/technical/opengl/opengl-frame-buffer-object-201-r2333

(Using render targets to render to texture in DX10)

http://www.rastertek.com/dx10tut22.html

http://www.two-kings.de/tutorials/dxgraphics/dxgraphics16.html

http://www.gamedev.net/topic/576213-directx-10-render-to-texture/

You can also use multiple depth ranges, and render the scene in "layers"; starting from the background (furthermost objects) and finally drawing the foreground (nearest objects), changing the near and far plane (and clearing depth) for each layer.

That's EXACTLY what I am using in my game.....

You're going to need a new coordinate system. I found that if you use the normal floating point system, when you get past the 10th digit, things start to go freaky..... The floating point can't handle very large or very small numbers. If you are interested, I already developed a struct for that.

This is not a small task you are undertaking. Don't be discouraged, though. It will be a good experience for you.

(this is not a shameless plug)

This is a short YouTube vid showing a little of what I have done. It doesn't show everything, but maybe you could get some inspiration....

I second Nik02s suggestion.
You should also look into LOD and skyboxes.
Also you can completely fake the distances if the multiple depth layers doesn't fit you:
You can completely disable depth testing if you just draw in the right order.

You can use impostors for far away stuff.
You can render everything to a spherical map (or a cubemap) and render that. If the objects are far away enough,
it's alright that they don't move when the camera does. (If you have need for both, you can use impostors too.)

There's plenty of options. Good luck! :)

The trick I use is multiple D3DTS_PROJECTION calls for various depths. If you just use 1 projection matrix with 1 FCP, you will have a LOT of z-fighting. Another thing you might need is:

			HUGEVECTOR3 V=Ship[i].V_Location-GE->MyCamera.CraftLocation;
			D3DXVECTOR3 v=V.Normalize();
			V.Length/=10.0;
			float S=1.0f;
			if (V.Length>10000.0){
				float asd=(20000.0f*57.289961630759f)/float(V.Length+5000.0);
				asd/=180.0f;
				S=asd*D3DX_PI/2.0f;
				v*=10000.0f-(5000.0f*S);
			}
			else v*=float(V.Length);
			S/=10.0f;

I use this for my ships and stations. First I divide all the distances by 10. Then I use a distance formula for anything beyond 10000. I use this formula to scale the object and place it in space before the FCP.