Most parts of the observable universe are generally extremely cold and has no air. So if some organism can survive naturally in space, and thrive near 3 Kelvin temperatures without any form of air, it can thrive pretty well.
So is it feasible for some intelligent organism to exist in space without special protective clothing/spaceship/etc?
Robots and other non-biological creatures qualify as long as they are intelligent and can survive.
Such creatures have been postulated by science fiction authors for decades.
The hardest part is not the short term effects of the vacuum, but the challenge of finding enough food and propulsion. Space is big. And empty. Getting from foodstuff to foodstuff is tricky. Photosynthesis will play a big part, but you need materials. Over time, the vacuum and the sandblasting of micrometeors will have an effect, and you'll need to repair.
One of the creatures I have seen is the Leviathan from Beyond Infinity by Gregory Benford. That was a planetoid sized organic creature that flew from planet to planet, collecting resources as it went.
I find the most exotic answer to be the idea of a living, intelligent planet. There's nothing unreasonable about that construction (if you're willing to widen the definition of "living" a bit), and its pretty clear our planet is surviving without gear.
It might be reasonable to think of surviving in space as an extreme version of desert survival.
Of course, there's always the Waterbear. While it doesn't qualify as intelligent by a long shot, it is a real life creature which can survive in space by entering hibernation.
Space doesn't have a temperature, and thus, isn't cold. Space is a vacuum, so there's nothing there. That's the definition of a vacuum. In fact, a vacuum is a nearly perfect insulator. You'd have a greater problem of overheating, especially in direct sunlight.
An organism that is capable of surviving in the vacuum of space would need a body capable of sustaining or balancing internal pressure. A human being would start expanding, and rather painfully. It would also need to be capable of resisting and surviving the extreme amounts of radiation it would experience in space.
We're forgetting the fact of energy, or food. The organism needs a metabolism that needs to function in a vacuum, without any incoming matter. Photosynthesis works for plants on Earth that have CO_2 to consume. But our organism would need to live for quite some time without anything to consume. So it would need a metabolism that can manage what resources it does have hyper-efficiently between the long stretches between sources, or capable of hibernating/suspending itself until it gets to a new source.
It's more feasible to have an organism capable of surviving in a vacuum, but not living/evolving in one. For example, we have Tardigrades on Earth which are capable of not only surviving in a vacuum, but surviving extreme conditions as well.
I believe it is within the realms of possibility.
The creature needs a strong exo-skeleton that can contain the pressure of it's own guts. This skeleton does not need to be calcium based. Distant alien life could build out of any molecule, including carbon fibres or whatever.
If it has light receptors, they do not need to take the form of articulating eyeballs, like what would get sucked out of it's head.
It could have the ability to hibernate when it freezes and then wake up when it melts, without sustaining tissue damage, as some varieties of frogs can on earth.
The main problem is breathing. Both plants and animals require air to create energy. Let's say it absorbs solar radiation like a plant. It cannot photosynthesize without carbon-dioxide. Perhaps it uses some other chemical reaction to store energy.
The real question is "How would this evolve?" Did it evolve in space? What obstacles did it's ancestors need to overcome? what versions of itself did it compete with? like why didn't it just keep reproducing static plant-like life?
