How light can the lightest neutralino be?

We show that in the Minimal Supersymmetric Standard Model, the mass of the lightest neutralino is experimentally unconstrained if the GUT relation between the gaugino mass parameters M_1 and M_2 is dropped. We discuss what the impact of light or massless neutralinos would be on their production at LEP, as well as on electroweak precision data and rare decays.