The answer to the question "what is dark matter" is that nobody really knows. It is easier to say what is isn't.
There are actually two dark matter problems. One is that the amount of gravitating matter in the universe appears to be much larger (by a factor of roughly 30) than the amount of matter that we can actually see in the form of luminous stars and galaxies. The evidence for this includes the motions of stars and gas in galaxies, the motion of galaxies in clusters and the gravitational lensing of light by clusters of galaxies.
The second problem is that most of this dark matter (maybe 5/6 of it) must be in a form that is not like the stuff that makes up the luminous stars, galaxies and you and me. This is the so-called non-baryonic matter that does not interact (or weakly interacts) with light and normal matter. The main pieces of evidence for this are: the ratios of lithium, helium and deuterium to hydrogen that were produced in the first few minutes after the big bang, which are still essentially imprinted on the bulk abundances seen in interstellar gas today (this is a bit of a simplification); a careful analysis of the small irregularities in the cosmic microwave background suggests that in order to grow into the kind of structures we see in the universe today, there must be large quantities of gravitating matter that only interacts through gravity.
So whilst things like intergalactic stars, cold gas, planets, faint stars and lost golf balls(!) could contribute to solving the former problem, the bigger second problem could not be solved in this manner because these are all examples of baryonic matter.
There are many theories about what the non-baryonic dark matter might be. Neutrinos were once thought to be a candidate but we now know that the neutrino mass is too low for this to be significant. The favoured models now seem to be that there are some sort of massive, weakly interacting particles (WIMPS) or massive axions. There are a number of detection experiments endeavouring to find strong evidence for such particles, but without any confirmed detection so far.
Because non-baryonic matter does not interact with light - there does not appear to be any obvious way that there could be "dark matter worlds" or "dark matter life".