Planets:
It is very possible to have 2 planets orbit one another. A very close-to-home example of this is our very own dwarf planet Pluto and its moon Charon. These tow bodies are actually fairly close in mass is 11.6 percent of Pluto's. For reference, the mass of our moon (Luna) is only 1.2% of Earth's mass. Pluto and Charon, being so close in mass ratio, actually orbit each other around a point that is outside of Pluto known as a barycenter. One could argue that these two are a binary system of rocks.
Pluto and Charon relative to a fixed barycenter |
Black Holes:
Now it gets cool. Black holes, like stars, can orbit one another, creating wicked gravity phenomena.
Supermassive Black Holes:
An artist's rendering of a black hole system after a galactic collision |
Now it gets terrifying. Quasars are supermassive black holes that actively consume matter and emit insane amounts of light and other radiation. Scientists have managed to find several binary systems and even a triple system of quasars.
Artist's rendering of a single quasar |
Information and pictures from:
http://en.wikipedia.org/wiki/Charon_(moon)
http://en.wikipedia.org/wiki/Moon
http://en.wikipedia.org/wiki/Binary_black_hole
http://en.wikipedia.org/wiki/Quasar