I have to deal with a huge amount of data that usually doesn't fit into main memory. The way I access this data has high locality, so caching parts of it in memory looks like a good option. Is it feasible to just malloc() a huge array, and let the operating system figure out which bits to page out and which bits to keep?
If the data are in a large file, look into using mmap to read it. Modern computers have so much RAM, you might not enough swap space available.
Assuming the data comes from a file, you're better off memory mapping that file. Otherwise, what you end up doing is allocating your array, and then copying the data from your file into the array -- and since your array is mapped to the page file, you're basically just copying the original file to the page file, and in the process polluting the "cache" (i.e., physical memory) so other data that's currently active has a much better chance of being evicted. Then, when you're done you (typically) write the data back from the array to the original file, which (in this case) means copying from the page file back to the original file.
Memory mapping the file instead just creates some address space and maps it directly to the original file instead. This avoids copying data from the original file to the page file (and back again when you're done) as well as temporarily moving data into physical memory on the way from the original file to the page file. The biggest win, of course, is when/if there are substantial pieces of the original file that you never really use at all (in which case they may never be read into physical memory at all, assuming the unused chunk is at least a page in size).