That depends on where it is. Contrary to popular belief, space is not a true vacuum. It’s filled with gases and dust, elements and molecules of all kinds. In our Solar System the space between planets contains a smattering of dust left over from the birth of the planets. On rare occasions, from very dark sites, you can actually see this dust as it reflects sunlight – we call it the zodiacal light.
There is more gas in the space between the stars. Measurements show that the Sun is currently passing through a small tuft of hydrogen gas, 30 light years across, known as the Local Interstellar Cloud (LIC) – the Sun’s magnetic field, known as the heliosphere, keeps most of this gas out of the Solar System. While it is mostly hydrogen there are other gases there, like oxygen, neon and helium, but it isn’t very dense. Beyond the LIC is a sparser void called the Local Bubble. Larger, denser clouds of gas exist in the space between stars elsewhere in the galaxy and the densest are forming stars, like the Orion Nebula.
Clouds of gas can also be found in the huge spaces between galaxies. In galaxy clusters the gas is very hot, reaching up to 100 million degrees Celsius (180 million degrees Fahrenheit) thanks to gravitational energy released as galaxies fall into the cluster. The ionised gas becomes a plasma, so it is stripped of electrons, emits X-rays and is made mostly from hydrogen and helium.