Every planet and satellite revolves around their mother planet and about their own axis as we know. So they are compacted as a system. Then why not sun?
Yes, the Sun and our whole Solar System are revolving around the centre of our galaxy, the Milky Way. Milky Way is a spiral galaxy and hence has four major spiral arms and a central buldge. The Sun (and, of course, the rest of our solar system) is located near the Orion arm, between two major arms (Perseus and Sagittarius).