Space is not a perfect vacuum, in terms of having no matter present whatsoever. It's a strong vacuum, in that is has much much lower pressure than on Earth (where we have a lot of very dense atmosphere causing that pressure).

Different areas of space have some amount of matter, with different amounts and kinds of matter in different kinds of environments. Stars, like our Sun, generally have winds of plasma that is, in a vague sense, boiling off of the star and flying off into space (at hundreds of kilometers per second!). Interstellar space (areas between stars) also has matter throughout: a combination of gas, plasma, and dust, but all very thin. This interstellar medium (ISM) is actually my research specialty as an astronomer. The typical density of the matter in the ISM is something like 1 particle (an atom, molecule, ion, or free-floating electron) per cubic centimeter. For comparison, Earth's atmosphere is roughly 10^(19) (10 billion billion) particles per cubic centimeter. So the ISM is 10 billion billion times less dense than the air we're used to!

All this ISM stuff is moving around. It's orbiting around the galaxy (just like all the stars), and it's mixing around because of turbulence and other effects. And even though it's all so thin, there's still a lot of variation between different locations: there's hot regions (1 million degrees!) with low density plasma, warm regions ("only" 6000-10000 Kelvin/Celsius) that can be gas atoms or plasma (or a mixture), and cold regions (less than 100 Kelvin or -200 Celsius) with gas molecules. So you can get all kind of complicated and interesting interactions, like hot gas crashing into clouds of cold gas, or blast fronts from old supernova explosions plowing through areas of warm gas (making it hotter and more compressed).