QUESTION:
Why doesn't space have any gas in it?

ANSWER from Michael R. Haas on May 23:
Actually, all space does have gas in it, although the density is very
low in some regions of the universe.  In other places (like the Earth,
Sun, and stars), the density is very high, so the Universe is very
clumpy. 

The main reason the universe is clumpy is because of gravity.  This
attractive force acts over large distances and pulls matter together -
gas clouds collapse under the influence of gravity to form stars.  This
collapse process is amazingly efficient, leaving little gas between the
stars.