I have been referring to this chart a lot lately, so I thought I would link to it here. On the International Society of Genetic Genealogy (IOSGG) Wiki site there is a page on Autosomal DNA Statistics. Blaine Bettinger has been collecting data from related individuals who have taken Autosomal DNA tests (like AncestryDNA, FamilyTreeDNA FamilyFinder, and 23andMe Ancestry Service) and found their amount of shared DNA. He has created a chart showing various relationships, like first cousin, second cousin, and for each relationship posted the range and average amount of shared DNA. The chart and the article.
For example, from his data, first cousins share an average of 880 cM, with a range 553 – 1379 cM. Second cousins share an average of 238 cM, with a range of 43-504 cM. (Note that these two ranges don’t overlap.) As you get more distant relationships, multiple generations removed and such, the averages generally get smaller and the ranges more spread out. It gets harder to determine the relationships. This is why it is important to try to test our oldest relatives (or to be more exact, the ones most closely related to our ancestors). As this data shows, it is significantly easier to determine unknown relationships when they are more closely related.