What planet was theorized to be between the Sun and Mercury?

To explain anomalies in Mercury's orbit, scientists in the 1800's theorized there was a planet that existed in orbit between Mercury and the Sun. They named this hypothetical planet Vulcan. Many amateur astronomers reported finding the planet, however no reliable proof was ever obtained. In the early 20th century, Einstein's theory of Relativity was published, and using this, the anomalies in Mercury's orbit could be explained.

It's still possible there is a planet between Mercury and the sun, but it's very unlikely. However, the search is still on for asteroids in Vulcan's proposed orbit - fittingly named Vulcanoids.