Some maps are entirely indoors. This type has very defined limits on where you can go, and logically so - the only exits to the building are locked. (or in many cases, do not seem to exist! ) Outdoors, unfortunately, there is a lot more freedom which can make it difficult to constrain people to a certain playing area. Obviously the level can only be so large, so eventually you will have to limit the freedom provided by an outdoor area.
Unfortunately, it can be difficult to do so logically. In real life you could probrably walk for hours without any real obstacle preventing you from going further. In Unreal maps this cannot be the case. To maintain the illusion of being outside a realistic limit is necessary. Some maps are surrounded by something hazardous that a player cannot pass through, others have impassable terrain, such as mountains, to block the player from reaching the edge of the designed area. A third option is to have the area surrounded by "nothing," such as a space station or asteroid. The players cannot leave the play area because they would simply fall off the edge.
Usually it is not very realistic to have an area entirely surrounded by impassable terrain or hazards, otherwise how would the players have gotten there? Unfortunately, there is rarely an option. Sometimes this can be alleviated by placing a dropship or other form of locomotion in the vicinity. Most of the time, however, players will not be particularly concerned with how they got there, so this is more of a finishing touch and can be omitted if it does not fit the theme of your map.
Outdoor maps will, almost without exception have a SkyBox. This is a means of making the sky appear to be very far away, much more so than the actual "roof" of the outdoor area. Building A SkyBox explains how to make one. Also be aware that the "roof" of the outdoor area should be very high up, and the "walls" of the main subtracted space should be a fair distance beyond whatever constrains the players to the play area. This is to prevent players from shooting the "roof"/"walls" and also to prevent them from impacting on either if they leave the play area with great velocity, such as from a rocket jump or a hammer jump.
Some maps appear to be in motion - this is, of course, just an illusion. The illusion is based on having things move rapidly past the level, typically in the skybox. Usually a zone or volume is set up so the player will die if they leave whatever it is that is "moving." Examples of this effect can be seen in DM-Oblivion, DM-HyperBlast, and AS-HiSpeed, among others.
The simplest way to create this effect is to put textures on the walls/skybox that pan. In UT, you will need to set the surfaces to use U or V pan. (or both) In UT2003 you will need to make a TexPanner to use on the surfaces. This is recommended only for the most "background" layer of the effect, though it is often sufficient. If you want your "mobile" level to have lots of eyecandy, attaching actors to unseen movers can make the level appear to "pass" other stationary objects such as signs/animals/asteroids/people/rocks/etc.
This effect is used primarily outdoors, but can be used outside a window on an indoor level if the level's theme dictates it.
MythOpus: Couldn't you use the RockingSkyBox for a 'motion' effect also?