Since Tycho Brahe (around 1600 CE) it is known that comets are farther away from the Earth than the Moon. Tycho successfully measured the distance to a comet. 

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Comets are objects of the solar system. They are small objects with typical diametres of a few kilometres and orbits that are either elliptical (with excentricity), paraboloic or hyperbolic. 

 

They consist of stone and frozen gases and are, therefore, often called "dirty snowballs". In the vicinity of the Sun, the gases sublimate, form a so-called "coma" (like a thin atmosphere) around the rocky comet core and are blown away from the core by the solar wind because the gravitation of the small object is low. The solid state material (grains of stone/ sand, pebbles, dust) is swepted along with the blown away gas. 

Due to electric forces of the plasma of the solar wind, the gas and the dust particles of the comet are blown to different directions and separated. Modern photographs clearly show the gas tail as bluish and the dust tail as whitish but the naked eye observer is not able to distinguish the colours of the tail(s).