My Macbook Pro is supposed to have no password, how come it asks for password still?

http://support.apple.com/kb/HT1274

Be aware that while your account WILL have a password attached to it... it's possible that password is blank. If this is the case, there will still be instances where OS X will ask you to enter it (eg for system-changing events such as driver installations), in which case whatever you do enter won't be accepted. The trick is, of course, to leave the password field blank and simply click past such prompts.

An exception to this is with Keychain Access, which will refuse a blank password (forcing you to set a proper one).

Also note that resetting your OS X account password without knowing the original will result in losing access to your Keychain. This is the database that stores all your other passwords (eg, for websites, your email, etc), so think twice before doing so - make sure you're able to re-enter any other passwords your computer might need to re-ask you for! You may also run into issues if using File Vault.

Will resetting the password wipe out all my data?

No.

Since Snow Leopard, 10.6.x, OS X has not allowed full use of a null password. While you can leave it blank, some functions cannot be completed without some sort of actual character. For instance, any command in Terminal which requires an admin password will fail if it is null.

The solution is to use something that is very simple. Like just the letter "c" for your password. Hardly secure, but no worse then nothing.

I still lose Keychain Access?!

Not really. You just have to tell Keychain that you have a new password.
http://support.apple.com/kb/HT1631

To be clear, Keychain Access is an app used to view and modify your Keychain. It's the Keychain itself you'll lose access to if you reset your password without knowing what the original is - and if you know what the original is, then there's no need to use the installer to reset it.

While you do have the option of creating a new Keychain after resetting your password, this will require you to re-enter any passwords your system was previously "remembering" for you - eg, your email password.

This may not be a problem for you, but if you're unsure of any other passwords that're important to you, it's best to ensure you know what they are before you potentially lock yourself out of however many services by trashing your old Keychain.

That is incorrect. The keychain data for any given user is part of that user account. Changing your account password will not cause you to lose access to your own keychain data since it does not keep track of what password was in place when it was created. It only cares that you enter the correct current password to access it.

Er, no. The Keychain is encrypted, generally using a copy of the password created when the account was first opened as the key. Changing that account password by eg using the installer disc means that OS X will, on the next boot, prompt you to enter the (now different) Keychain password in order to unlock it - and if you don't know what that old account password was, you're left with no other option but to delete the old Keychain and create a new one.

The article Eustace linked to states this result quite clearly.

It also states:

Note: This doesn't happen if you change your account password using Accounts preferences.

So we're both correct. It depends on how and where you change your account password what happens.

Just keep in mind that your "current" OS X account password is NOT always the same thing as your Keychain password.

Changing your account password via Accounts indeed sorts this out for you (easily done, since you have to enter your old account password to do so); but methods of changing it without knowing your old password - such as by using the install disc, as roza is considering - obviously cannot.

Hopefully this isn't confusing for you, roza. Suffice to say that it's probably a moot point - consider what passwords your computer is "remembering" for you (for most people it'll just be email and a few websites), and if you're happy you can re-enter them if need be (and you should only be prompted once), then you shouldn't need to worry about your old Keychain.

For now, try just opening System Preferences, going into Accounts, clicking the padlock down the bottom and see if the Unlock button works without entering a password. If so, then your current password is blank, and you can simply change it on the spot in that very window without messing the Keychain up at all.