You don't have sound in space, because sound requires molecules. You have to be able to move the molecules with the sound waves, and without the molecules there, the sound just doesn't move. You can try and use your lungs to push the sound out of your mouth, but it won't travel anywhere. But there might be sound on other planets.
20k Hertz Podcast: Space
Seeker: Can You Hear Sound In Space?
Space.com: Eavesdropping On Mars