Actually according to some on this forum the answer is no. Nearly all pins have a purpose, but some don't. Some also are used for ground, and if you break one they seem to be able to use the other ground pins. (don't bet on OCing after this however.) I personally have never tried, but some here have reported success.
When the AM3 socket came out, toms took a PII 940 and broke off the two pins that were keeping it from fitting in the AM3 socket, it didnt work in the AM3 socket but when they put it back in an AM2+ motherboard it still worked, so not all pin losses will kill a CPU. Most of them are important, but if you lose a pin you may still be fine depending on if there are redundant pins that perform the same purpose like grounds.