Do we live in a galactic bubble?
As I have discovered afterwards, the described bubble exists and is in fact a known phenomenon. For those, who want to read more, here is a wiki link http://en.wikipedia.org/wiki/Local_Bubble and the links therein.

Otherwise, it is an underdensity in ISM (not only dust) in the region of Orion Arm (which is a minor spiral arm). The underdensity is up to ten times comparing to normal density in the Milky way, depending on the component of ISM in consideration. The shape of the cavity is complex, typical sizes being of order $100 \textrm{pc}$, but when it comes to practical observations, one should be wary when neglecting dust extinction at distances over $50 \textrm{pc}$.