How common or rare is it to find stars outside of a galaxy? Can such a star still have planets that contain life? Recently, I think that I heard of a star with a planet that entered our Galaxy. Did this star come here from another galaxy or was it originally from the Milky Way?
I don't think we have a good estimate of the number of stars not in galaxies -- they're actually pretty hard to find unless they're really bright, since even if you spot it, how do you know that it's extragalactic?
But galaxy mergers (which are very common) tend to throw out large numbers of stars from the merging galaxies, so it seems likely there are many stars in space between the galaxies.
There is no reason why such stars can't have planets, but it's likely that the planets formed along with the star inside a galaxy and got ejected from the galaxy along with the star.
Stars (and planets) form when Giant Molecular Clouds collapse under their own gravity, the collapse frequently being triggered by tidal forces from a passing star or a nearby supernova. It seems unlikely that there are many GMCs in intergalactic space, and there are certainly fewer encounters which might trigger collapse. So it seems likely that relatively few stars (or planets) actually form in intergalactic space.
Life does not seem to have evolved because of the existence of stars in the sky, so once a planet exists in a habitable zone, life should form regardless of where it is.
The Gaia mission is providing us with superb position and velocity data for billions of stars, and it has identified a handful (maybe more by now) of stars which seem clearly to have come from intergalactic space. Here's an article which covers the report last year.
I don't think it is common at all to find stars outside of galaxies, but most astronomers would agree that they must exist.
The problem is that individual stars are not very bright. We can see stars in our own Galaxy, but beyond that (in other galaxies or in the space between galaxies) we wouldn't be able to detect a single star on its own. We would generally observe star clusters (hundreds or thousands or tens of thousands of stars) in other galaxies as one bright blob, we can't see each star inside it.
Can you give us a source for the star with a planet that entered our Galaxy? I haven't heard of this so would need to see the details to explain where it came from.
The other answers address the question of whether or not interstellar stars can have planets. You also mentioned the star with a planet that entered our galaxy, so I will try to answer that.
I suspect the planetary system you are referring to is the one at Kapteyn's Star, which was described in the press release as being a former member of the star cluster Omega Centauri. Omega Centauri is traditionally categorised as a globular cluster but there is evidence to suggest that it is actually the remnant core of a dwarf galaxy that merged with the Milky Way. The origin of Kapteyn's Star in Omega Centauri has since been challenged by Navarrete et al. (2015), who find that the abundances of various elements in Kapteyn's Star and other members of the Kapteyn Moving Group do not match the abundances in Omega Centauri and are indistinguishable from Milky Way halo stars.
Another possibility is that it is HIP 13044, a star in the Helmi stream. The Helmi stream is another remnant of a destroyed dwarf galaxy that merged with the Milky Way. Unfortunately the evidence for the planet was found to be a result of errors in the data analysis, see Jones & Jenkins (2014) for details.