Using vehicles
In Second Life, there are many kinds of vehicles, from realistic sports cars to fantastical spaceships. You can browse and buy from thousands of vehicles on Xstreet.
Vehicle operation varies widely — consult each vehicle's specific manual, or ask the creator or their support staff for help. However, you can operate (drive, fly, etc.) most vehicles by right-clicking and selecting the appropriate option. Your avatar is seated in control of the vehicle, and the same directional keys used to control your avatar are now operating the vehicle. As shown in this video:
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All capable vehicles are scripted; due to the vast possibilities available, there's an amazing array of variation. Vehicles come in physical and non-physical varieties (although some can "switch" from one to another as-needed for specific purposes, like dampening the adverse effects of Region crossings).
What's the difference between physical and non-physical vehicles?
Physical vehicles behave according to Second Life's physical rules. For example, if you drive a car over a ledge (like in certain blockbuster movies), it may coast for awhile due to the momentum propelling it forward, but gravity acts upon it until it hits the ground. Physical vehicles must be 32 prims or fewer (see Limits). This prim economy makes vehicle-creators quite savvy and resourceful about how each prim is used in vehicle's overall construction.
Non-physical vehicles can be 256 prims or fewer (see Limits), including the driver and passengers, each which counts as a prim. Since non-physical vehicles aren't affected by physics, their motion may appear stilted and stiff, although their visual appearance may be more detailed. This generally makes "non-phys" vehicles a better choice for floating UFOs and large warships which don't need to interact with collisions and other kinetic behaviors.
The best way to understand is to learn, so try out various vehicles of each type.
Where can I use my vehicle?
Just about anywhere your avatar can go. Obviously, you can't pilot a plane down into a parcel you're banned from. Also, to rez a vehicle, you need to find a buildable parcel of land. This means there's no icon in the menu bar that shows a prim with a slashed red circle on top of it.
There are many public roads and waterways constructed by Linden Lab to enjoy traveling on; some of these are marked as "Protected Land" (shown as the parcel name in the menu bar), others have been crafted by the Linden Department of Public Works. There are also a variety of Resident-created racetracks and other transport routes. Here are some of many examples, feel free to add more to this gallery:
How do I learn how to script a vehicle?
The Linden Vehicle Tutorial is a good place to start.