There was a good Scientific American article recently on the IGM near the Milky Way, if you can get a copy, it's worth the effort.
The quick answer to Dogon is 'because gravitational lensing says there's far more mass than is detected by all other means - radio, IR, optical (e.g. absorption), X-ray, cosmic rays), oh and the relative abundance of primordial nuclides is consistent with other estimates of baryonic mass.'
To answer Loren ("Why no tangible intergalactic matter?"), there's surely some - the fountains meteor refers to (which are very real; if I get time I'll post some links to some very nice piccies of these) will carry dust grains out into the IGM, for example. However, there can't be much, otherwise there'd be 'intergalactic reddening', for example. Some time ago there was a minor controversy about the dust content of spirals; IIRC, the matter was settled with some very nice Hubble obsevations of spirals backlit by distant ellipticals (the wavelength-dependence of the opacity - 'optical depth' - set tight limits on the *total* amount of intervening dust).
Almost all the 'diffuse X-ray' background is (apparently) accounted for by known objects (e.g. dark quasars and other AGN, distant clusters), per a recent Newton-XMM result (check out the ESA website for more details), so no need to worry hellfire!
There's still a lot to learn about the IGM, including its heat sources - did you see the (Chandra?) result, about AGNs blowing giant bubbles, which generate enormous acoustic energy? Too, there are AGN jets - the energy that doesn't go into EEv cosmic rays gets dumped into the IGM; some nice VLT (IR) observations of these 'hotspots'.