This has more regard to Nightcrawler's teleportation ability. Every instance I've seen him teleport it has been with a room or given space. In the old Sega Genisis games (not sure how closely they followed the canon), you were able to teleport through walls which I assume to be true in the comics. Is he limited by pure distance? Obstacles? Other factors?
From Marvel Universe:
Nightcrawler can easily teleport north south along Earth's magnetic lines of force. However, teleporting east west against them or teleporting vertically is more difficult. Under optimal conditions, Nightcrawler can teleport 2 miles east west, 3 miles north south, and 2 miles vertically if he exerts himself.
He also tends to prefer only teleporting to places he can see, or that he knows - so that he does not accidentally teleport himself into something (like a wall or mountain)
According to Wikipedia, the only real limitation is distance, as phantom42 said. Intervening obstacles have no effect. However, in three instances he exceeded his normal range:
- teleporting 'an unknown (but presumably large) distance' based on telepathically-received coordinates
- 50 miles
413 miles (carrying a passenger!)
It is worth noting that the 413 mile teleport was as he was near death, in an effort to save someone from the same fate. He died shortly thereafter, though from extenuating circumstances.
A related limitation is that he is increasingly fatigued by the frequency, distance, and mass carried when teleporting.