At least some asteroids have an internal reservoir of ice (along with organics); that's the thought for objects like 24 Themis, which retains a high albedo despite being inside the frost line. We also have evidence that centaurs (the outer-system asteroids) are really just relatively close-in comets. Recently a team showed that there are dead comets residing in the asteroid belt among possible dormant ones.
Increasingly it's clear that comets and asteroids are really the same type of objects - mineral objects coated and/or filled with water and sundry organics - with their visual behavior and surface characteristics determined mostly by their position in the solar system. If they've been out at the edge of the system for most of their life and make a sudden close pass to the Sun, they'll lose a lot of water, quite spectacularly. Others (like Vesta) have been stably far enough inside the frost line for long enough that they're dry. For those of us who think the organics we'll find on and inside these objects will be the most interesting thing about them, the limited information we have so far is very frustrating. Consequently I'm more than eager for Dawn to arrive at the much more primitive, wetter Ceres in February 2015.
It's worth emphasizing that we can't be too humble about our level of knowledge about our own solar system. Fuzzy images of Ceres were only compiled by 2007, showing some interesting surface features (craters and a bright spot). That is to say, if aliens had landed on Ceres and made a giant sign with letters 100 miles high insulting us - on the biggest asteroid in our solar system mind you - we would only have finally have noticed it six years ago. I'm not worried that the bright spot will turn out to be a dirty picture drawn on the surface, but it's worth keeping our state of knowledge in mind before we start saying we have no evidence of [fill in the blank] in our solar system.