Yes, they are nick-named 'dirty snowballs' and also contain rocks. What you see as the comet's tail is the ice melting because of the sun. When the comet returns to outer space the tail is no longer present. Gradually, the comets reduce in size because of this melting.
Comets come from the coldest parts of the universe and contain ice and organic materials. Scientists believe that impacts from comets on earth are responsible for contributing to organic materials and possibly life on earth.
There are a number of different hypotheses about the source of the Earth's water, but I believe that the water on our planet was brought by comets. Earlier in the Earth's history, comets collided with the Earth and comets contain a large amount of ice.