Yesterday I was playing GTA IV and ended up in a speed boat and set sail away from the city; towards the horizon.

I was driving for about 20 minutes and I just kept on going.

Is there a limit as to how far you can go or is there just infinite space for you to travel?

i think it might be the same as san andreas, you keep going, except in this game you cant die of hunger so you can keep going until the xbox goes rrod on you for overuse

Well in party mode I was going to do this but got bored after 5 minutes but my friend says that he did it once and got a message telling him if he went any further he would be sent back to single player. I don't know if this would be the same on single player though.

i've Experienced That, In party Mode It Does Indeed Say "Youre Too Far From The Action, Turn Back Or There Will Be Consequences" But It Just Kills You And Sends You Back To The Spawn Point At The Old Casino

How long must you sail for?

I was sailing for a long period of time.

I did this the other day and got pretty far out, but then a big ass whale tipped my boat over and I was stranded out in the water and had to reload my game.

Haha, but no. I went for only a little after 10 minutes and then got bored, and wanted to go kill some more stuff.

I've Never Tried It In Single Player, But It Has Happened In Party Mode.

Tried it in a helicopter, and it exploded.