Units that have a range intercept over the entire range.
Fighters intercept anywhere in their 6 range.
Machine guns only on the tile where they are.
SAM infantry actually has a range of 1 (set via the iAirRange tag in their unit info XML) and can intercept air units targeting things on adjacent plots too.
Another thing you should know: air units (i.e. fighters) can intercept an unlimited number of times per turn, but non-air units (land or sea) can each only successfully intercept once. If the only unit that can intercept your attacks on a stack of units is a SAM infantry and it intercepts your first air attack, then every subsequent air attack you do on that stack that turn can not be intercepted.
Yet another thing: the interception chance for fighters scales with their damage so a half damaged fighter has only half its normal interception chance. A land or sea unit always gets its full interception chance.
Any yet one more: only the unit with the highest interception chance at the time of the attack can try to intercept. If you have a land unit with 50% and a land unit with 20% only the 50% one gets to try. (If it succeeds and then there is another attack, the 20% unit would then get to try due to the thing mentioned 2 paragraphs up.)