PixelBoy: Now if you meant something that can think and actively choose where to go in space, that would be much harder. Our knowledge about physics can be incomplete, but some basic concepts are probably true.
So how would such a lifeform ever leave their home planet, other than debris from asteroid collision and other similar events? Once in space, how would that lifeform change its course?
My idea was more like that such lifeform was born in space, not in some planet (with its own atmosphere etc.). So space in itself would be its natural environment, not a planet.
Naturally it would need... something... to live on, so I am unsure if e.g. mere energy from suns would be enough for such lifeform to live on, or whatever else there would be in space that such a lifeform could "consume" in order to live, and multiply/reproduce, and whatever.
About how it would change its course in space, not sure... Travelling with solar winds? Farting to different directions in order to travel to the opposite direction? Hooking on any objects (asteroids or whatever) it can catch in space, and pushing itself to different directions from them?
Anyway, how it would manage to travel in space is not the main question, but whether it would be possible for a meaningful lifeform to live in space. We humans are dependent on our atmosphere (oxygen etc.) similarly like fish are dependent on water in order to live.