The very first exoplanet ever discovered was detected in orbit around the pulsar PSR 1257+12, but the first exoplanet deteced around a more normal star was discovered in 1995, orbiting close to the sun-like star 51 Pegasus. Since then more than 4000 other planets have been found by astronomers (as of July 2019) and most appear a similar size to Jupiter. There are numerous ways to detect if a star has planets orbiting around it, and the different methods all contribute to the number we know about today.
Quite a lot of the planets found so far have very short orbital periods, and take less than 10 days to go around their parent stars. The laws of gravity tell us that planets with shorter orbital periods are closer to their central star, whereas those with longer periods are further out.
In the Solar System, Mercury, the closest planet, has an 88 day orbital period, whereas Neptune, the furthest, takes an incredible 165 years to go around the Sun. As surface temperatures on Mercury are around 400°C, these much closer planets are expected to be well above 1000°C; far too hot for life as we know it to exist.
With the high temperatures, it would also be difficult for gas-giant planets to have formed so close, as all the gases needed to create it would have been vaporised and blown away by the solar heat. This means that the "hot Jupiters" we find, which are mainly made of hydrogen and helium, must have formed further away from the star where it is cooler and then migrated inward.
Whilst the exoplanets detected so far have mostly been large gas-giants, we are just starting to detect smaller terrestrial planets like Earth and Mars, which no doubt exist in much larger numbers. Scientists are also trying to develop ways of checking if life could exist on those planets, such as looking for signs of oxygen in their atmosphere.