It's respectably sized, though not the largest one we know of.
The Milky Way is the second-largest (and possibly the most massive) galaxy in the Local Cluster, but there are larger galaxies further away.
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Universe is massively bigger than the milky way galaxy, by many orders of magnitude. Also, the milky way galaxy is included in the universe, and we are included in the milky way galaxy.
The universe is far bigger as it contains everything hat exists, including billions of galaxies. The Milky Way is the galaxy in which we reside.