Certainly "empty" space between galaxies has some things in it. Space has properties in and of itself, such as dark energy and virtual particles appearing in pairs and then disappearing, but ignoring the virtual and the not very well understood, empty space is full of photons, more specifically, Cosmic Background Radiation and all kinds of wavelengths of light from galaxies as well as cosmic rays and a boatload of neutrinos.
Most of the matter that came out of the big bang was gravitationally drawn into galaxies, but likely not all of it, so there likely is some primordial matter between galaxies too, just not very much of it. (precisely how much is a bit over my pay grade).
Also, as Conrad Turner points out, 3 or more body gravitational interactions can from time to time, kick a planet or star out of the galaxy but gaining sufficient velocity to escape the dark matter halo completely is probably quite rare, outside of galaxy on galaxy collisions, but rogue stars/planets outside of galaxies probably happens from time to time.