Yes, many, first was Helium. It was discovered during an eclipse in 1868 as a spectral line in the sun's radiation which hadn't been observed on Earth with any known elements.

Quoting from Wikipedia, which seems to be okay on this topic:

Helium is named for the Greek god of the Sun, Helios. It was first detected as an unknown yellow spectral line signature in sunlight during a solar eclipse in 1868 by French astronomer Jules Janssen. Janssen is jointly credited with detecting the element along with Norman Lockyer. Jannsen observed during the solar eclipse of 1868 while Lockyer observed from Britain. Lockyer was the first to propose that the line was due to a new element, which he named. The formal discovery of the element was made in 1895 by two Swedish chemists, Per Teodor Cleve and Nils Abraham Langlet, who found helium emanating from the uranium ore cleveite

Then there's the discovery of pulsars on November 28, 1967, by Jocelyn Bell Burnell and Antony Hewish which turned out to be neutron stars.

This showed that you can have stars that are so compact they can't be made of ordinary matter and must consist of Neutronium

There may also be Strange matter at the heart of neutron stars.

This is not detected directly but theorists consider them to explain phenomena found in space.

There's also indirect evidence for Dark matter through astronomical observations, for instance the velocity / distance curve for stars orbiting in a galaxy, though this is not actual detection.

I'm sure there are many more.

As well as that, there are unexpected phenomena in space. For instance the Martian dry ice geysers

NASA Findings Suggest Jets Bursting From Martian Ice Cap (artist's impression)

Nobody predicted them as far as I know, and there is nothing like this on Earth. Triton similarly had nitrogen geysers

File:Voyager 2 Triton 14bg r90ccw colorized.jpg

There are many other phenomena like that which occur on other planets or moons that just can't happen on Earth naturally and may be hard to reproduce in a laboratory. And quite often we discover these phenomena without predicting them first.

Scientists also find new minerals in space, example Scientists Find New Type of Mineral in Historic Meteorite announcing the discovery of a mineral Wassonite consisting of crystal structure of Titanium and Sulfur, never found in nature before. I don't know if it was previously created artificially on Earth or not.

Also some minerals only occur in space, or in meteorites, e.g. Maskelynite a glassy phase only found in meteorites, created by micrometeorite impacts.

And if you look at details of the composition of rocks, isotope ratios, ratios of various elements in minerals, you find many subtle differences even between the Moon and Earth, because of the different conditions in which the rocks formed, see http://www.lpi.usra.edu/publicat...

You also get materials that form in space because the conditions are difficult to duplicate on Earth. E.g. many different forms of ice, that you get when it is very cold, under high pressure, etc. They can be duplicated in labs on Earth, some with a lot of difficulty, but most of these phases of ice don't form naturally anywhere on Earth.

I think we may well discover many new minerals in space as we continue to explore it, also unusual phenomena and phases of materials that occur on Earth.