As I understand it the objects you are looking for are subsets $S$ of a $n$-dimensional Euclidian space where you consider a map $f: S \to S$ to be an symmetry of $S$ if the map $f$ preserves distances and angles, i.e. is a rigid motion.
Now your question is: for every group $G$, is there such an object $S$ such that $G$ is the group of all symmetries of $S$? It is also somewhat implicit in the question that you assume $G$ to be finite.
We can split it into two questions:
1) For every $G$ is there an object $S$ such that $G$ appears as a subgroup of the symmetries of $S$?
2) If the answer to question 1 is yes and we are looking at such an object, can paint different colors on it, or draw smiley faces, or carve holes or attach handles to the object in order to get rid of some of the symmetries and only end up with those in $G$?
Question 2 is quite interesting. Take for instance the group $A_5$ of all rotation symmetries of the dodecahedron. Clearly it is a subgroup of the group of all symmetries of the dodecahedron, wich also contains relflections. Can we mutilate the dodecahedron in such a way that only rotational symmetries remain? The answer is yes, but not very easy to find (although I'm sure Wikipedia has a picture).
However I will only say something about question 1 here. We note a couple of things:
If you picture examples of symmetric objects (cubes, spheres etc) you notice that they often have some sort of center point that is preserved by all the symmetries. We make a bold move forward and narrow the question down to:
1': For every finite group $G$, is there an object $S$ an a point $O$ in the Euclidian space where $S$ lives such that every symmetry of $S$ leaves $O$ in place and such that $G$ is a subgroup of the group of all symmetries of $S$?
Let's fist approach the situation from the other side and imagine that we do have such an object $S$ sitting inside an $n$-dimensional Euclidean space, which also contains a point $O$ with the special property that every symmetry of $S$ leaves $O$ in its place.
The reason for introducing the point $O$ is that we can bring in some linear algebra. Given the 'special' point $O$ we can think of the surrounding Euclidean space as the space $\mathbb{R}^n$ where $O$ is the origin. Notions such as 'span' suddenly make sense so we'll restrict our attention to the subspace of $\mathbb{R}^n$ spanned by $S$. Since we didn't say what $n$ was we may well assume that this subspace is all of $\mathbb{R}^n$.
Now the crux is that every symmetry of $S$ extends to a map from all of $\mathbb{R}^n$ to itself, and since the symmetry preserves angles and distances, the parallelogram law tells us that these maps are linear!
Conversely you perhaps remember from linear algebra that in order to be able to talk about distances and angles you need to have an inner product $\langle . , . \rangle$ on your vector space. The condition of preserving angles and distances says then that a symmetry $f: \mathbb{R}^n \to \mathbb{R}^n$ is not only linear but also satisfies $\langle f(x), f(y) \rangle = \langle x, y \rangle$ for all vectors $x, y$; in other words it preserves the inner product or is an orthogonal linear transformation.
Hence we can reformulate question 1 in more linear algebraic terms:
1'': for every group $G$ is there a number $n$ and a group of orthogonal linear transformations of $\mathbb{R}^n$ that is isomorphic to $G$?
The answer is yes. A simple way is to embed $G$ into $S_n$ and then let $S_n$ act on $\mathbb{R}^n$ by permuting the basis vectors.
Now that we have realized $G$ as a subgroup of the symmetries of all of $\mathbb{R}^n$, we'd like to prettify things by realizing it as a subgroup of the group of symmetries of a smaller subset $S$ of $\mathbb{R}^n$. This can be done as follows. Take a generic point $x$. Look at the set of $|G|$ points $g_1(x), g_2(x), ...$ where $g_1, g_2, ...$ are the elements of $G$, realized as linear transformations.
You end up with nicely symmetric set of points. Finally take there convex hull to get a more tangible solid object $S$.