In the Solar System, we have two groups of planets - the outer gas giants and the inner rocky ones. The rocky ones are the first four, which are much smaller and denser than the outer four, containing a much higher percentage of metal elements, and less gases (Mercury and Mars do not in fact have any atmosphere to speak of). Even Venus' thick, scorching atmosphere only accounts for a small fraction of its overall composition. The other four are instead a lot larger and have very dense atmospheres with (relatively) small cores.
The reason for this state of affairs, put simply, is that when the Solar System was born, most of the gases near the Sun were soon either vapourised or blown away by the Solar wind so that only heavy metal & rock materials were left to form the inner planets. Further away though there was plenty of gas and this accumulated together to form behemoths the size of Saturn and Jupiter.
Planets give out heat too…
In the outer Solar System, the planets recieve much less light and heat from the Sun, as they are much further away, and the Solar radiation travelling outwards behaves according to an inverse square law. It is thus much easier to detect the small amounts of heat and light given out by the planets themselves. All planets give out energy to some degree; the terrestrial ones by slow radioactive decay of isotopes formed since the planet's formation, the gas giants emit heat left over from the planets' final phases of contraction when they were formed. With the exception of Uranus, the gas giants emit more heat than the terrestrial planets.
The inner planets, Mercury, Venus, Earth and Mars, can be (very) roughly split into 2 sub-groups. The first and last of the inner planets, Mercury and Mars respectively, are both comparatively small (Mercury has a diameter of 4,800km and Mars of 6,700km compared to Earth's 12,800km) and have no atmospheres to speak of.
The middle two planets, Venus and Earth on the other hand, are very similar in size (Venus has a diameter of 12,100km to Earth's 12,800km) and have a similar composition, mass and density. However, Venus' position slightly closer to the Sun has resulted in a 'runaway greenhouse effect' creating a scorching, styfling inferno on the surface of the planet, whereas Earth is much more temperate.