Other terms are "orphan planets" and "rogue planets". Naturally, since they don't orbit a star and are usually pretty dark, they're hard to find, though there are candidates:

http://www.nbcnews.com/id/49823152/ns/technology_and_science...

http://en.wikipedia.org/wiki/Rogue_planet#Known_or_possible_...

One could argue that these are proto-stars, or brown dwarves, I guess - but to me, no fusion == planet.

http://en.wikipedia.org/wiki/Rogue_planet