Assuming the physical world actually exists as we perceive it (and that, for example, some super-powerful extraterrestrial force is not manufacturing starlight in order to deceive us about our surroundings in the universe), the stars we see really were there - at some point. However, thanks to the physics of light, as we speak right now, they aren't where they appear to be in the night sky.
The reason for this apparent paradox is relatively simple, once one realizes what is going on. Light is not perceived instantaneously after being emitted from some different source; instead, it travels through space, albeit at an extremely high speed. For the distances we are familiar with in daily life (roughly several miles to the horizon in any direction), light travels effectively instantaneously between ourselves and the objects we are looking at, just as sound travels effectively instantaneously between our ears and a speaker standing just a few feet away.
However, as with sound, the appearance of instantaneous light is deceiving. Scientific experiments readily confirm that light travels at about 186,000 miles per second, or 300,000 kilometres per second. At this speed, it can circle the Earth eight times per second - but, by the same token, it also takes eight minutes for sunlight to reach the Earth. In other words, when you glance up at the Sun during a clear day, the "Sun" you are seeing is actually light which left the surface of the Sun several minutes ago.
The same is true of light we see from other stars and galaxies in the universe - except that they are much, much farther away than our own Sun, and therefore the light they emitted has taken much longer to reach us. This actually creates a handy shorthand measure for astronomers, who have long realized that our limited measurements, like miles and kilometres, are simply not useful for describing the vast distances between stars. Instead, the light-year is actually used as a common measurement: that is, the distance which a beam of light can travel in a year. One light-year is equivalent to a little less than 5.9 trillion miles (9.5 trillion kilometres). Our nearest stellar neighbour, Alpha Centauri, is four light-years away. The nearest galaxy to our own, the Andromeda Galaxy, is over two million light-years away.
However, this introduces a bit of a paradox, because while the light is travelling toward us, all those stars and galaxies are not standing still. Stars in the Milky Way Galaxy very slowly orbit around the galactic core; and the galaxies themselves travel through space. Right now, the Milky Way and Andromeda galaxies are speeding towards each other at a combined velocity of about 75 miles (120 kilometres) per second, and a collision is expected to occur in about three billion years.
As a result, this means that when we see a star in the sky today, we have to understand that it is no longer actually located in the position it appears to be: in the intervening years, it will have moved. Close objects, like Alpha Centauri, will not have moved far. However, objects that are far away will have travelled much farther. In 2004, the Hubble Space Telescope spotted a group of stars, perhaps a small dwarf galaxy, about 13 billion light-years away. By the time we saw that star group, however, it had been drifting for thirteen billion years. The stars in question are no longer in the location we are viewing them. Indeed, if we could find and look at them today, they would look nothing like they did 13 billion light-years ago. Observers were excited because the region they were looking at seemed to be going through rapid star formation - but the stars we saw through the telescope by now would be very old indeed, and the largest of them will almost certainly be long dead.
This raises an even more chilling part of the paradox: when we look through a telescope, we are quite literally looking back in time. Some of what we are seeing actually no longer exists. Last year, the Swift satellite detected a gamma-ray burst from 13.1 billion light years away. This means the explosion we saw actually happened 13 billion years ago. That would mean it happened long before our own Milky Way Galaxy was even born, and many billions of years before life emerged on Earth.
The most chilling part of this relates to the possibility of gamma-ray bursts and other disturbances in our own neighbourhood. It is generally agreed that a gamma-ray burst, the massive stream of radiation sometimes emitted from the poles of a dying star, would have devastating effects on all life on Earth if it occurred within several thousand light-years.
Astronomers currently believe, for example, that based on current measurements a blue variable star about 7500 light-years away, named Eta Carinae, may undergo a supernova soon, unleashing a gamma-ray burst at a range close enough that, if it is pointing toward Earth, would probably destroy most or all life in the hemisphere exposed to the burst. Yet the light we see from Eta Carinae was actually emitted 7500 light-years away. The supernova we are expecting could have happened two thousand years ago - and if it did, we would not even realize it had happened for several thousand more years.
Fortunately, astronomers currently believe that a gamma-ray burst from Eta Carinea, if one has occurred, is pointed away from Earth. However, it is a chilling reminder that when observing space objects, one must always remember that one is actually watching the past (in some cases, the distant past), not the present.