Observing planets in other galaxies is *really* hard to do because they are so far away and planets are so small. One of our closest neighbors, the [Andromeda Galaxy](http://en.wikipedia.org/wiki/Andromeda_Galaxy) (also called M31), is about $10^{19}$ km away (just under 780 [kpc](http://en.wikipedia.org/wiki/Parsec)), so finding a planet the size of Jupiter (roughly $10^5$ km diameter) is pretty tough (radius to distance is very small). Even the closer neighbors, the Magellanic clouds at distances of [50](http://en.wikipedia.org/wiki/Large_Magellanic_Cloud) and [60 kpc](http://en.wikipedia.org/wiki/Small_Magellanic_Cloud) (LMC & SMC respectively), are still over $10^{18}$ km away so finding stars there are equally challenging.

It has been proposed that one can use [microlensing](http://en.wikipedia.org/wiki/Gravitational_microlensing) to detect (large) planets orbiting stars. Some people have [claimed to have found a star](http://arxiv.org/abs/0906.1050) with an gravitational lensing aberration that *could* be the result of a planet. This is really a guessing game because the resolution is, at best, a few pixels on a CCD.

We do not believe that the Milky Way galaxy is unique in its development of planets, especially given the findings of the [Kepler mission](http://www.nasa.gov/mission_pages/kepler/overview/) (prior to its failure) that there's roughly 1.6 planets per star. But we can't really say that there is indeed planets in other galaxies simply because we haven't had observations confirming the hypothesis.