Is it OK not to ground a ceiling fan?
If you're following the National Electrical Code, you have a few options.
Install an insulated fixture
410.44 exception 1 allows you to not connect a grounding conductor, where the fixture is insulated and there are no exposed conductive parts.
Install a ground
410.44 exception 2 allows you to install a grounding conductor in accordance with 250.130(c).  Which means you can connect a grounding conductor any of the following:

(1) Any accessible point on the grounding electrode system as described in 250.50
(2) Any accessible point on the grounding electrode conductor.
(3) The equipment grounding terminal bar within the enclosure where the branch circuit for the receptacle or branch circuit originates.
(4) An equipment grounding conductor that is part of another branch circuit that originates from the enclosure where the branch circuit for the receptacle or branch circuit originates.
(5) For grounded systems, the grounded service conductor within the service equipment enclosure.
(6) For ungrounded systems, the grounding terminal bar within the service equipment enclosure.

GFCI protection
The final exception to 410.44 allows you to not connect the grounding conductor, where the fixture is GFCI protected.