Do you have to pull out all your baby teeth, or can you leave whichever ones don't fall out?

Talk to your dentist. Don't know how old you are or if there are other medical conditions; but would recommend that you discuss with your dentist if > 12 Y.O.
Depends. Why didn't they fall out? Are there missing permanent teeth? Are there impacted permanent teeth? What's the condition of the roots of the baby teeth? Know that if a tooth is lost adjacent and opposing teeth will collapse into the space provided, creating an occlusion problem called posterior bite collapse. Please have a dentist check what's happening and advise you.