If the Cellular radio is activated (you are paying your iPhone carrier to share your iPhone's phone number with the Apple Watch), then you can be on the other side of the country AS LONG AS you are still in your carrier's service area and you happen to be within range of a cellular tower.
NOTE: This assumes your iPhone it still power on, and is able to talk to the Internet so that some services, such as TEXT/MMS can be relayed via the iPhone.
If you mean Bluetooth range, so your Apple Watch will use your iPhone's radios in order to save Apple Watch battery life, then between 10 and 20 meters depending on what walls, floors, and if there is a microwave oven running between your Apple Watch and your iPhone (microwave ovens operate on the same frequencies as Bluetooth and WiFi 2.4GHz).
If your Apple Watch is on a WiFi network, then they can continue talking to each other as long as your Apple Watch is within range of the WiFi, and your iPhone has Internet access.
Generally speaking, your Apple Watch would prefer to be Able to use the iPhones radios, and just talk to the iPhone via Bluetooth, as that conserves the Apple Watch batteries and give you the longest battery life.