In outer space, where there is very little matter, the type of wave that would be observed between planets is an electromagnetic wave, such as an x-ray.
Mechanical waves, like sound waves, require a medium (such as air, water, or solid matter) to travel through, and since outer space is a near vacuum with very low density, mechanical waves cannot propagate in that environment. Electromagnetic waves, on the other hand, do not require a medium and can travel through the vacuum of space.