A sound wave is simply a wavelength which according to Charles Darwin's theory of evolution, we have evolved through the millennia to pick up with our ears. Light also being a wavelength we learned to distinguish with our eyes. The same is said for heat, by the sense of touch. All of the fore-said are simply different forms of radiation.
Now, just because we can not "hear" anything in space this does not mean that there is simply nothing radiating through it's vastness. In fact each planet radiates electromagnetism, which NASA has captured with different probes (The Voyagers) put into space. The electro magnetic radiation has been down tuned (well more just changed the wavelength into an audible source) so that we humans can "hear what they all sound like".
The following youtube videos are of these "sounds" :-
My Personal favourite is Jupiter, which I will post first really atmospheric "space music".
Io (Moon of Jupiter):