It depends on speed and location. I set mine so I can see boats that are 5 minutes away leaving ample time to notice them, determine which way they are going and take any action that I might need to take. In the sound and out at Neah Bay, my biggest concerns are large boats in the shipping lines (or slightly outside of them) and fishermen running at 20-30 kts with no radar (and often no common sense). At 30kts a boat covers 1nm every 2 minutes and if I'm also moving 30 kts, that's 1nm every 1 min for a boat coming from the opposite direction (of course I don't run 30kts in fog). So I tend to have mine set at 4-8nm. I'll also note that how far my radar can see is determined by a combination of how high it's mounted on my boat and how high above the water my target is. E.g. for the large container boats, cruise liners and tankers, I can spot them at quite a distance.
Once I'm in tighter quarters, I'm often down to a .5nm range and if I'm really worried I'm switching ranges regularly to see both the close and the far away. Also, now that I've added AIS to system, I tend to run the radar at shorter ranges since the bigger, fast moving boats are (for the most part) required to broadcast AIS. Then the radar is primarily used to find those overly brave (and sometimes stupidly brave) fishermen running from spot to spot.