If neutrinos are Majorana fermions, the lepton mixing parameter space consists of six mixing parameters: three mixing angles and three CP-odd phases. A related issue concerns the physical range of the mixing parameters. What values should these take so that all physically distinguishable mixing scenarios are realized? We present a detailed discussion of the lepton mixing parameter space in the case of two and three active neutrinos, and in the case of three active and N sterile neutrinos. We emphasize that this question, which has been a source of confusion even among "neutrino" physicists, is connected to an unambiguous definition of the neutrino mass eigenstates. We find that all Majorana phases can always be constrained to lie between 0 and pi, and that all mixing angles can be chosen positive and at most less than or equal to pi/2 provided the Dirac phases are allowed to vary between -pi and pi. We illustrate our results with several examples. Finally, we point out that, in the case of new flavor-changing neutrino interactions, the lepton mixing parameter space may need to be enlarged. We properly qualify this statement, and offer concrete examples.

16 pages, 2 .eps figures, references added, minor typos corrected