Yes - our Sun is just one of many millions of stars in the Milky Way Galaxy. So far, no other star has been found to have planets. This isn't as strange as it may seem at first. Planets are small and don't give off their own light - they only reflect light from their parent star. Currently, the world's largest telescopes couldn't detect planets, if there were any, orbiting even the nearest stars.
Comets come from even further out.
The first four planets, Mercury, Venus, Earth and Mars are relatively small and rocky. They are called the terrestrial planets. But the giant planets have plenty of moons, and the moons are solid. Click on the Planet's name below to see some general information about the planets in our Solar System. Here's some of the kid's projects on the planets.