For props you need to choose a prop entity. There are various types, but if the prop can't be moved and needs proper lighting then use the prop_static entity. If it's anything that could be moved with the gravity gun (i.e. this includes radiators on walls and Combine consoles), you'll need a prop_physics. You can choose the model in the prop_static properties box.
For things in the background that are off in the distance, you need to make a 'skybox'. Look up the term at http://developer.valvesoftware.com/wiki/Main_Page (bookmark that link!). There are a few tutorials on making skyboxes around the internet if you look for them.
Currently (pre-SDK update) if you are mapping for TF2, use prop-dynamic if certain models aren't showing up in-game. Hopefully this should only be temporary.
What about the stuff off in the distance in TF2 maps? How do you do that? Like CP_Well for instance? Or the smoke stacks that are not far off but above the buildings and give a greater sense of setting?
Yes, if you go to the Interlopers website > video tutorials > Misc. - there is a tutorial called '3D Skybox' which shows everything.
It's very clever really... you just have something off to the side of your map that is scaled down 16 times and contains all the stuff in the 3D skybox (like some tiny model village or something!).