In order to describe non-Gaussian kinetics in weakly damped systems, the concept of continuous time random walks is extended to particles with finite inertia. One thus obtains a generalized Kramers-Fokker-Planck equation, which retains retardation effects, i.e., nonlocal couplings in time and space. It is shown that despite this complexity, exact solutions of this equation can be given in terms of superpositions of Gaussian distributions with varying variances. In particular, the long-time behavior of the respective low-order moments is calculated.