Most stars are very hot. We can tell how hot a star is by what color it is, because the light emitted by a star (its black body radiation spectrum), depends on temperature!

The matter in stars undergoes a process called nuclear fusion, where two atoms fuse together to form a larger atom. This process releases a lot of energy in the form of heat, causing stars to heat up to very high temperatures. The surface temperature of stars usually ranges from 2000 to 30000 Kelvin. A Kelvin is a unit of temperature like Fahrenheit of Celsius. Room temperature is about 300 Kelvin, so stars are very hot. Our sun is 5778 Kelvin on the surface and is estimated to be 17,510,000 Kelvin in the interior.

Very recently, scientists have discovered several objects that are somewhere between a star and a planet, called brown dwarfs (not named for the actual color of the objects). The matter in these "failed stars" can only undergo fusion of deuterium (and sometimes lithium, but not other elements). Due to the limited fusion, they do not heat up as much as most stars. They are very small for stars, but they are bigger than planets, (greater than 13x the size of Jupiter), and sometimes even have planets orbiting them. Brown dwarfs are very cold as stars go. The coolest ones discovered are about 300 Kelvin (room temperature!).

References:
http://news.sciencemag.org/2011/03/cold-star-no-hotter-summers-day
http://www.scientificamerican.com/article.cfm?id=how-cold-is-a-y-dwarf-star
http://en.wikipedia.org/wiki/Brown_dwarf
http://nssdc.gsfc.nasa.gov/planetary/factsheet/sunfact.html
http://solarsystem.nasa.gov/planets/profile.cfm?Display=Facts&Object=Sun