Well, a number of probes and rovers have been sent and none have found any evidence of life on Mars. There is evidence that Mars was once wetter than it is now, including hematite nodules called blueberries that form in the prescence of water, but no evidence that Mars has ever sustained life. Mars has a very thin atmosphere and is colder than Earth, so it would be difficult for any life form to get established.
It is possible that some form of life exists on Europa, one of Jupiter's moons, or on Titan, Saturn's largest moon. Europa has a thick layer of ice on its surface, but underneath that ice is an ocean that holds more water than Earth does. This water is kept above freezing by pressure and tidal forces from Jupiter and other moons, which have gravity pulling on Europa. It may be possible for life to exist in this environment, but right now there is no way of knowing what is down there.
Titan might have lakes or oceans of various organic compounds, and a thick atmosphere that we can't see through. It is very cold, and doesn't have much water, so any life there would be very different from what is on Earth. It may be possible for the liquid methane there to act in some ways similar to water, but I don't know for sure. The Huygens probe may tell us more about Titan's surface later this year.
I think the best bet for life outside of Earth is on Europa. There isn't any way of really knowing just yet, but I think that life will occur anywhere it can, since it is self-replicating and can adapt to certain changes in its environment.
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