If there were an asteroid orbiting its star within the habitable zone and this asteroid contained liquid water, would it be possible for simple life such as bacteria to form?
If you take a slowly rotating asteroid with a large basin of trapped water, some solved minerals, and may be some gases, close to the asteroid's surface, to get an environment similar to a black smoker by the heat of the sun, I wouldn't call it totally impossible.
The formation of such an asteroid is close to the limits of my imagination, might be as a remnant of a comet with a crust of dust baked together to a water-proof surface layer.
But that's pure speculation at the moment. May be we can learn more this year with Rosetta.
Some biochemistry details: By the rotating asteroid part of the water undergoes a heating/cooling cycle. Provided there are enough prebiotic molecules, by this heating/cooling cycle kind of polymerase chain reaction (PCR) could multiply short occasional RNA or DNA fragments (nucleotide sequences). The difficult part is providing polymerase. It has originally been isolated from a bacterium living in hot springs, not quite dissimilar to black smokers. Information storage and replication (e.g. in RNA/DNA) is one important ingredient for life.
Polymerase is an enzyme, mainly consisting of amino acids. Glycine is the first amino acid found in cometary dust in 2009. That's a first step, but there is a big gap. As an enzyme polymerase is a protein, hence can be encoded by RNA or DNA.
Now we need a containment. The simplest form of a cell-like structure is a micelle. Organic molecules with a polar group can form micelles. This paper contains a list of organic molecules found in interstellar medium. Some of them could be used to synthesize appropriate molecules, but it's also quite a gap in this case.
A long way from what we know of extraterrestrial organic molecules to a bacterium.