|MadSci Network: Astronomy|
There are almost certainly compressional waves in space. There's a wonderful site about the interstellar medium (ISM) here, though it doesn't address the question of waves per se.
It's worth pointing out that in much of the Galaxy most things -- stars, gas clouds, etc. -- are moving faster than the "normal" speed of sound that you would estimate from the temperature and density of the ISM. This is because the speeds of the objects in the Galaxy are usually set by the gravitational influence of the Galaxy, or (in the case of supernova ejecta) violent processes that occur within stars, while the speed of sound in a gas (the ISM those things are moving through) is set by the local temperature and density. Consequently, most things moving through the ISM are moving much faster than Mach 1 in the medium. This means that most things that stir up the gas and make waves will end up making shock waves, and not "ordinary" compressional (sound!) waves. Shock waves are discussed on a relatively advanced level (upper-division college science students) here.
Shocks are much easier to observe: the gas gets hot and it radiates in a shock, and such things can be observed relatively easily. Plain compressional waves, while they are believed to exist in the ISM, don't make for easily-observed obvious consequences. I've seen them discussed a few times in the technical literature, but shocks are a very popular subject there. Unfortunately neither kind of wave has attracted many good discussions for popular-level audiences.
Try the links in the MadSci Library for more information on Astronomy.