The first exoplanet was discovered in 1995, orbiting close to the sun-like star 51 Pegasus. Since then more than 1,900 other planets have been found by astronomers (as of Nov 2015) and most appear a similar size to Jupiter.
Around 20% of the planets found so far have very short orbital periods, and take less than 10 days to go around their parent stars. The laws of gravity tell us that planets with shorter orbital periods are closer to their central star, whereas those with longer periods are further out.
In the Solar System, Mercury, the closest planet, has an 88 day orbital period, whereas Neptune, the furthest, takes an incredible 165 years to go around the Sun. As surface temperatures on Mercury are around 400°C, these much closer planets are expected to be well above 1000°C; far too hot for life to exist.
With the high temperatures, it would also be difficult for gas-giant planets to have formed so close, as all the gases needed to create it would have been vapourized and blown away by the solar heat. This means that the "hot Jupiters" we find, which are mainly made of hydrogen and helium, must have formed further away from the star where it is cooler and then migrated inward.
Whilst the exoplanets detected so far have mostly been large gas-giants, we are just starting to detect smaller terrestrial planets like Earth and Mars, which no doubt exist in much larger numbers. Scientists are also trying to develop ways of checking if life could exist on those planets, such as looking for signs of oxygen in their atmosphere.