How important is it to you to put a label or a name to your sexual preference or sexual orientation?

I have been thinking about this a lot for the last few days, and usually if something is on my mind.. this is where I come with it. As a married woman, people rarely if ever question my sexual preferences, so I suppose it is a little bit out of sight out of mind. For the majority of my life if a form or a profile or anything of that nature asks for my sexual orientation, I just leave it blank. Pretty much always have. I tried in my teens to choose the best word to suit me, but never really settled on one. It faded into the background.
Yesterday when the status update was floating around facebook, I did repost as a “straight ally.” It feels very strange to say that, though, because I’m not really sure that “straight” or “heterosexual” are the best words to describe me. Then again, I’m not really sure what does. I have always been more inclined to just not use a word in that place at all.
Recently, I had a friend who I had always assumed was heterosexual. She felt the same. She got involved with a woman, developed deep feelings and found herself very confused. We have been friends for many years, but only close friends for the last few. While talking with her about it, I asked if this was her first (I can’t remember what word I used, may have been lesbian) relationship. She replied by saying that it was the first time she was with a woman, but that she does not consider herself bisexual. She is just a woman in a sexual relationship with another woman. It is an interesting point, to me.

So my question is this: How important is it to you, personally, to put a label or a name to your sexual preferences or orientation? Do you feel like it helps to define who you are, does it give you something concrete?
Have you met other people like myself, ones that don’t know what label best applies to them? I know exactly what I like, I just don’t know what category that hurls me into. Or whether or not I even want to be in a category at all.