While the red hypergiant (called red because red dwarfs and stars at the end of their life cycle are the coolest and therefore emit mostly red or infrared light) VY Canis Majoris is the biggest star observed at 1800–2100 solar radii (1 solar radius = radius of the Sun) it's "only" 30 to 40 solar masses. The most massive observed star is the blue hypergiant (the hottest stars emit mostly blue or ultraviolet light) R136a1 with an estimated 265–300 solar masses and a luminosity almost 9 million times greater than our Sun's luminosity. The reason VY Canis Majoris is so big is because it's in the final stage of its life cycle. During this stage, the star bloats up into a red giant and pushes out its Hydrogen mantle. Eventually the core collapses and the star goes supernova. Stars like our Sun which are below the Chandrasekhar limit (the maximum mass of a stable white dwarf) at 1,38 solar masses will end up in a white dwarf, a small "corpse" of a star the mass of our Sun but the radius of Earth which is mostly composed of electron-degenerate matter and held together by electron degeneracy pressure instead of fusion against gravitational collapse. Stars beyond this limit will end in either a neutron star (1,38–3,00 solar masses) or a stellar black hole (any star greater than 3 solar masses), so both VY Canis Majoris and R136a1 will definitely end up as stellar black holes.
Stars more massive than 20 solar masses — called Wolf-Rayet stars — often lose their mass rapidly by means of extreme stellar wind. R136a1 is a Wolf-Rayet star and as the star is middle-aged, it was even more massive in its youth. It's absolutely fascinating to get a sense of scale by comparing stars with each other: Wolf 359, the Sun, Sirius, Arcturus, Aldebaran, Rigel, Antares, Betelgeuse, Mu Cephei, VV Cephei A and the largest, VY Canis Majoris. That's nothing though.
While the most massive star is apparently nearly 300 solar masses, supermassive black holes are the real monsters. Just about every galaxy has a supermassive black hole at its core including the Milky Way (it's called Sagittarius A and weighs 3,7 million solar masses). The most massive supermassive black hole discovered so far is at the center of NGC 4889, the brightest galaxy in a supercluster of thousands of galaxies about 336 million light years away in the Coma constellation. This beast weighs a dazzling 21 BILLION solar masses. It should also be noted that supermassive black holes are proportional to the size of the galaxy they reside in. A typical galaxy contains around 400 billion stars.
So those are massive and gigantic cosmic objects, but perhaps a greater insight in the hugeness of everything is derived from zooming out all the way from Earth so each time we have a greater scale to compare with the previous: from Earth to the Sun, the Kuiper belt, the Solar system, the Hills cloud, the Oort cloud, the Orion–Cygnus Arm, the Perseus Arm, the Milky way, the Local Group (a group of 54 galaxies including the Milky Way), the Virgo Supercluster (a supercluster of more than 100 galaxy groups including the Virgo cluster and the Local Group) and eventually the grandest structures of superclusters.
The observable universe is 29 billion parsecs or 93 billion light years in diameter and that's likely to be a small portion of the total size of the universe. The reason we can't see all of the universe is because the universe is expanding. Nothing can go faster than the speed of light, though the cumulative expansion of space results in galaxies moving away from each other at greater speeds than the speed of light. As the space expands faster than the light can travel through it, light from the more distant objects will never reach us.
It's hard to grasp the tremendous scale of things as it and the universe are so unfathomable; I find it easy to see the universe as an endless fractal. The probability of the existence of our universe is very nearly 0 so statistically speaking I shouldn't be pondering this question; in fact, I shouldn't be. To fix this statistical anomaly you can state that our universe is just one of many, perhaps infinite amount of universes, in which case the existence of our universe is no longer a cosmological oddity (or the notion of intelligent design) . With so many oddities like quantum mechanics, particle/wave duality, wavefunction collapse or the strong evidence that our universe has a flat geometry, I don't think it's hard to imagine our universe being part of a multiverse or a (looping) fractal. Reality is tremendously bizarre.