How much space should I leave between my residential and industrial parks, and what should I fill that space with if anything?

This comes up especially when I'm growing my initial city where I'd have a residential block, an industrial block, and either a small commercial block or some city service buildings in between. My options here are either expanding my existing residential and industrial blocks, risking putting zones too far away from each other, or placing new blocks somewhere, which requires at least one new buffer zone next to my new industrial block.

My first instinct would be filling that space with commercial zones, but when I'm starting out my Sims never want that much commercial space and it goes to waste. City services like police and schools are too expensive to just use as filler, and I'm trying to be efficient with my roads anyway by not placing too many things next to roads that don't need them.

Personally, I'd go with the approach of using different densities of zones. Maybe fill the space with some low density residential. Being near the industrial site makes it less attractive and therefore cheap, and if there is demand for residential then it will get populated. Being low density, though, means fewer sims living there, so you get less unhappy people due to the industrial pollution than if it were a high density residential zone. The only downside is that you do create poor, crime ridden zones so you will need to manage your police station locations.

Alternatively, do you really need to fill the space? You can use pylons and water pipes to get power and water to the separated industrial zones. Just don't leave too much space if you want sims to travel by car to work there. You could use rail, though, if it is very distant.

I at least want to be efficient with road space. I don't want that city councillor with glasses to get mad at me. :P
Cheap, low density spaces is a neat idea though. I think I can use that.

As for managing police stations (not that I ever have enough money to keep more than one around...) what's the effective radius of a station anyway?

You can bring up an overlay of service coverage (including police) in-game, allowing you to see just how far your coverage from each station reaches. The effectiveness of the coverage drops off with the distance from the station, and coverage from multiple stations stack so you'll want some overlapping.

Police Station radius of effect changes with the funding rate you put into the police force. I'm not sure exactly how the relationship between funding level and radius works in SC2000, but in later games you could see the effect directly. The same also applies to Fire Stations based on their funding.