There is now a new class of planets called 'rogue planets'.

These are planets that have been ejected out from their stars and wander the interstellar space within the galaxy.

Read more...
http://blogs.discovermagazine.com/badastronomy/2011/05/18/the-galaxy-may-swarm-with-billions-of-wandering-planets/
http://blogs.discovermagazine.com/badastronomy/2011/05/19/are-we-in-danger-from-a-rogue-planet/

Am I right in saying that these Planets don't have their own Star?.

I believe you are correct Diesel

Probably not the best planets to visit for a holiday, have the feeling they might be a bit cold.

I like the name 'rogue planets' makes them sound dangerous and if they head this way I guess they could be.

Snowcrash will probably say, don't be daft Data the gravitational pull from the Sun or Jupiter will prevent that from happening, at least that's what I'm hoping he will say. 

They're planets that have been ejected into interstallar space from the star they formed around.
If one wandered into our solar system it would be pretty devastating but seeing as we're about 5 billion years old and it doesn't appear to have happened yet...
Even with lots of 'em around (approx 0.01 per cubic light year or 1 every 100 cubic light years) they're still few and far between.
Space is aptly named. There's lots of it.