Lasers are a form of electromagnetic wave, like ordinary light, radio waves, x-rays, microwaves, etc. It used to be a mystery how waves could go through a vacuum and an imaginary substance that occupied all space was invented, called the aether. Because of the Michelson-Morley experiment and the aberration of starlight, no one really believes in the aether anymore, we just accept that light can propagate through a vacuum just fine. Personally I just think of a light wave as a local intensification of the electric and magnetic fields that goes whizzing by. The speed of light is less in air than in a vacuum, although they are quite close. The ratio of the speed of light in a vacuum to to the speed of light in a vacuum is known as the index of refraction, and it tells, through Snell's Law, how light will be bent going from one medium to another. For example, light in water only goes about 3/4 the speed it does in a vacuum, so the index of refraction of water is 4/3. Because of this if you hold something like a pencil so that some is in air and some in water, the pencil will appear "broken" at the water surface, because of the bending of light by the difference in speeds. If you're really trying to be careful, there are actually several different speeds associated with light, such as the phase speed, group speed and energy velocity. In a vacuum these will all be the same, but in other substances they can be wildly different.
Something else that's interesting about light propagating through space is that it will be deflected by the gravitational field of large stars, black holes, etc. Sometimes this has the peculiar effect of making distant stars appear twice, in different locations in the sky, because some of their light has gone one way around the sun, and some has gone another.