That's a very interesting question. We don't know the answer, and it seems from this nice Wikipedia article that there's quite a bit of uncertainty:
It's hard for a planet made out of chemicals that can easily turn to gas (e.g. hydrogen) to be stable near a hot star. Basically, the material would boil off. So one expects planets very close to a star to be made of something which evaporates much more slowly, such as rocks.
There's some question about what's going on with the very heavy planets found rather close to some distant stars.
Mike W.
(published on 06/13/2011)
