Yes, there is lots things in the near vacume of space. If we take the astroid belt as an example, which is between Mars and Jupiter, there are lots of lumps of rocks and ice. Then at the edge of the solar sytem there is the Kuiper belt (the disk region further out then Neptune) and Oort cloud, even further out. These are full of icy bodies which is where we belive comets we see come from.
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