There were several such experiments conducted on the International Space Station (ISS), but perhaps most notable one is ESA's EXPOSE that includes sample trays installed outside the Columbus laboratory:

ESA's Expose-E Exposed Pallet is handed off between the Japanese robotic arm and the Station robotic arm (Image credit: ESA)
More information on Expose-E experiments is available on this NASA page and on Wikipedia page on EXPOSE in general. EXPOSE-R2 is also planned to be installed on the ISS (this abstract from Advances in Space Research gives some clues what it will be about), some articles claiming that to happen in 2013, but since I can't find any information that it has been brought to the ISS and it's already mid December 2013, I'll presume that will happen in 2014 then.
For previous research on extremophiles and anaerobic extremophiles, this article on National Space Society: Life in Extreme Environments should have you covered what experiments have been conducted till 2002 (the date of the article), and for somewhat more recent (2010) research CosmOnline: Extremophiles give clues to alien life. Quoting from the latter:
European Space Agency in 2008 sent 12 boxes containing 664 examples of
the best of the best of these so-called extremophiles to the
International Space Station. For 18 months, two thirds of the samples
sat exposed to the vacuum, massive temperature swings and desiccating
conditions of open space. The rest had the luxury of enjoying a thin
carbon dioxide atmosphere that simulated the Martian environment.
I wouldn't know if samples included any anaerobic extremophiles in particular, but I would presume so. This EXTREMOPHILES AND EXTREME ENVIRONMENTS:
OPPORTUNITIES IN BIOTECHNOLOGY FROM DEEP-SEA TO SPACE by Dr. Francesco Canganella (Google cached copy) specifically mentions anaerobic thermophilic prokaryotes and bacteria as subjects of interest, and also mentions biocontaminants onboard the ISS (non-experiment related microbial life):
Regarding the microbial communities inside the International Space
Station (ISS), research on the environmental microbiota has been
conducted at a regular basis. Among the 70 species of microorganisms
found in the environment (air and surfaces) of the ISS, 36 were
bacteria and 34 fungi. Opportunistic pathogens were usually found and
the most numerous group (15 species) was made of fungi with
biocorrosive activities. Biocontamination is not only important for
the ISS but in the future this would be one of the main issue for the
success of Lunar and Mars bases, particularly for the biosafety of
manned modules but also for the maintenance of space greenhouses.
Regarding biocontaminants, this fungus on the ISS internal wall panel in the gym area is particularly famous one, but there are other contaminants present, from protozoa to amoeba:

Fungi on the ISS, growing on a panel where exercise clothes were hung to dry (Credit: NASA)
Granted, they might not be anaerobic extremophiles, but I thought it's worth mentioning not all lifeforms onboard the ISS are there to conduct research or research be conducted on (or eaten). ;)
... в естественных условиях (v yestestvennykh usloviyakh)translate as in vivo (as a whole living organism), not in natural loci (in its natural habitat, place)? – TildalWave Dec 12 '13 at 05:05