So everything has to orbit something?

Most of the time it does, at least for "a while", but it doesn't have to.

Gravity is extremely weak. The electromagnetic force that keeps your feet from rushing through the floor is something around 10⁴⁰ (I think) times as strong as the gravitational force. What is special about gravity is how far it reaches. You have galaxies, billions of lightyears apart, being attracted towards each other, so even on those scales, things will tend to "circle around" each other. What happens when orbits are formed is simply that an object is falling towards another, but always keeps missing it because it doesn't have an exact path towards it. When it miss, it rushes past but are then being "pulled back", but it always keeps missing the target.

Comets tend to loose mass extremely slowly, so over a long timepath, the orbit is actually a spiralling path towards the sun.

If an object has enough velocity, it can travel in a very weird path, travelling past solar systems, being flinged back and forth and so on. I'm not saying this happens a lot, it just can happen. Actually, when galaxies collide, it does happen a lot. Stars are travelling all over, being half-caught by gravity wells so it turns 90 degrees, a few of them collide or become dual-star systems, some are thrown out of the galaxy all together and become a loner in the dark. If it helps you, you can try to visualize it by everything being connected by very weak rubber bands that contract to zero length, but the closer things are the stronger it pulls.

It's an extremely interesting subject and I think you will have a LOT of fun watching documentaries about it. My favorite user/channel on YouTube, Zuke696, had his account suspended - but I searched and found a site called streaming-madness.net which should be good. This is the astronomy sub-section.