There is definitely gas and dust in space, but the densities are incredibly low. Around black holes, gas and dust falling into it are pulled into orbit, forming an acretion disk. The acretion disk has a whole lot of friction due to the fact that so many particles are rubbing against each other as they swirl around the black hole at colossally high speeds. Temperatures, electric fields, and magnetic fields in these kinds of environments get vey chaotic and hot. So hot in fact, that the disk surrounding the black hole begins to glow with energetic X-ray light.
In other cases, like the average density of the whole universe, that comes into a factor of about five hydrogen atoms per cubic meter, or approximately 9.47 x 10(-27) kilograms/ m^3
To get an even better idea, imagine a cubic yard of empty space, then put only 5 protons in that cubic yard. That is the critical density of our universe.