I don't have one and sometimes it seems as though the rest of the world does! I had one at school but the 'best' friend bit never continued into adulthood. I've met a couple of people in adult life I'd like to be best friends with too, only for them to refer to someone else as their best friend.
It does bother me a bit. Not a huge amount but I do sometimes with I had the security and closeness of a best friend.