Yes there are magnetic fields in space, but their strength depends on where you are. The spiral arms of the Milky Way seem to have some very large-scale organized magnetic field on the basis of studies of large numbers of pulsars and the polarization of their radio signals. The spiral arm field is over all not much stronger than 5 millionths of a Gauss. By comparison, the Earth's magnetic field is about 1 Gauss, and the fields in sunspots can get to 5,000 Gauss. But 5 microGauss over a system as large as the Milky Way is A LOT of energy.
Interstellar dust clouds have been found with fields as high as a few milli Gauss; about 1000 times stronger than the Milky Ways average magnetic field. As these clouds collapse, the fields are amplified, and some theoreticians believe that magnetic fields may actually support many 'molecular clouds' against rapid collapse. That's why there seem to be so many of these otherwise unstable clouds in interstellar space.
On the cosmological scale, there is no data to suggest that magnetic fields are present. They certainly are not important in the dynamics of the universe for any reasonable range of field strengths consistent with present observational constraints.