I've noticed many sites throughout the web from SBNation to smaller sites not having an 'active' (selected) style for their links. Sites like USAToday do have active states highlighted. My assumption was the best practice is to highlight or indicate an active link depending on what view the user is on. Has this changed or is there any positive in not indicating the active page/view?
Jakob Nielsen is a guru in User Experience. He has made ten heuristics for usability. They've been developed in 1990, but can still be used today. They still count as guidelines (well more rules of thumbs as Jakob says himself) for developing good usability on your website.
One heuristic is Recognition rather than recall. You can also call it reducing cognitive load or helping the user think as little as possible.
In this case, making clear where the user is at that moment and where they come from, helps reduce cognitive load. It's not a major crime not having an active state on links as these heuristics are rules of thumb and not actual rules. But there is nothing positive in decisively not implementing an active state.
Personally, I would use active link styling if it was one link out of a long list, e.g. articles, so when I return (by means of back button) to that page, I will know where I came from. In webapps, however, I wouldn't do that, mainly because now I'm into AJAX and clicking links on lists of items rarely takes users off the page. I'm indicating changes on a page with e.g. a fade from yellow to background, like stackoverflow does.
From my personal experience, frontend developers not always pay enough attention to such details, simply forgetting to define the style for active and visited links. So it's not intentional loss of functionality. And it's definitely a loss: as Paul already said, it breaks one of the Nielsen usability heuristics.