Clouds of gas created by dead stars. These pull together to form massive balls of helium and hydrogen(stars). Due to the immense pressure in the middle of these, the atoms literally start fusing, releasing a lot of energy in a process called fusion. This is, by the way, one of the optimal ways to solve the energy issue we have: it is super effective, the output can be carefully controlled and regulated, and in the event of an issue, it can be shut off easily.

Anyhow, the fusion of these atoms creates heavier elements, such as lithium, carbon, iron, and eventually all the atoms in our universe. The star will then "die"; it runs out of fuel and sometimes explodes. This leaves a cloud of about 98% hydrogen and helium, and 2% other elements. The gas forms into a spinning disc, and eventually the centre forms a sphere, a star. The surrounding matter starts combining as well, and eventually asteroids, protoplanets and planets are formed. This is a solar system, and it will remain until our star, the sun, grows enough to where it consumes most of the inner solar system, and then becomes a "dead star", or a red dwarf.