I don't know of any such strains personally, but experiments to produce extremophiles certainly exist. (Here's one example: high-pressure E. coli.) A search query like this one is probably a good place to start.
This all being said, for us to find life on other planets that exists in some of these forms, there has to be a plausible path backing up the process; I think a lot of people don't quite get this. Just because you can breed, say, extremely radiation-resistant bacteria in a lab doesn't mean that life could evolve from scratch with that much radiation present. (Think of it like trying to assemble a ruggedized computer in the middle of a sandstorm.)
That makes sense.
But on the other hand, the current atmosphere on Earth is full of oxygen which would be a deadly poison to the life that initially appeared on Earth, if I understood correctly. When we look at a planet with a telescope I don't think we get enough data to figure out what conditions existed in the past. Maybe past conditions were more pleasant, or life managed to develop in a nicer area (like somewhere below the ground) and then migrated outwards.
So is it really that useful to know that an arsenic tolerant bacteria can evolve on Earth? We have a rather specific history here that may not be the only way that produces life, and that's probably quite different from how things go on many other planets.
Speaking of Mars, there was this idea that the experiments performed by the Viking lander may have killed the life it was trying to find. In light of that it seems to me that figuring out which forms of life can exist is probably a good idea, if only to figure out what instruments could be used to try to find it.