It's quite common for a perfectly healthy woman to have one annovulatory cycle every year or two - sometimes it just doesn't happen. If you frequently have annovulatory cycles, however, then you need to get checked out - as Sookie says, it can be a symptom of PCOS, amongst other things.
Occasionally, the body produces luteinising hormone, but when the follicle bursts, there's no egg inside. Also, sometimes the egg just doesn't make it to the uterus or even into a fallopian tube - it can get lost in the pelvic cavity.
The endometrial lining of the uterus is maintained by progesterone (which also keeps temperatures in the luteal phase high) - so when your progesterone levels fall, the lining comes away. If there is a fertilised egg present, it causes the body to produce more progesterone, so the lining doesn't deteriorate but supports the egg. An unfertilised egg has the same effect on progesterone levels as no egg at all... so you get your period whatever.