The only object that humans have actually been to (apart from the Earth, of course), is the moon. They found many, many, interesting things telling us about the moon's past - the number is too great to list here (sorry about the details; as I said, too many to list).

Humans have never been anywhere else in the solar system, but our robotic probes have visited every other planet (excluding Kuiper objects like Pluto and Eris) and most of the major moons, at least as fly-bys, as well as a handful of asteroids and a couple of comets. Robot landers have been to Venus, Mars, Titan, and I want to say some of Jupiter's moons and maybe Mercury. Robot probes have descended into the atmosphere of Jupiter, but can't really land because Jupiter has no solid surface. I don't recall if this has been done to Saturn, too, yet, or not. Probes have also tried to get close to the sun, but can't get too close because of the heat.