Does each planet have a sun?

Not necessarily. In a few billion years, our sun will exhaust its nuclear fuel, and, for all practical purposes, "die". Planets closer to the sun will be consumed, but planets farther away will be flung away.

It's very very probable that such an event has happened sometime in the past somewhere in the universe, so much so, that I'd be willing to bet my left arm on it. Those planets are drifting, until captured by another gravitational entity.

But the creation of planets most likely has to start with the creation of a star, if that's what you were asking. Hydrogen and Helium will always combine to form the lower elements required in a star first before creating the higher elements that are required for a "planet".

Of course, there are quantum loopholes that would allow anything (and I mean anything, like a giant space breathing cat to spontaneously appear in the center of the milky way and to disappear a split second later), but we'll discount those.