Ultra-dense cell-free massive MIMO (CF-MMIMO) is a promising technology for 6G, aiming to meet the growing demands for ubiquitous connectivity and data traffic. This paper provides a comprehensive overview of CF-MMIMO and addresses key challenges and open questions for its deployment. CF-MMIMO involves many access points (APs) distributed over a wide area, coherently serving many users. The total number of APs' antennas is much larger than the number of users, enabling massive MIMO-based techniques and providing high spectral and energy efficiency. However, practical implementation remains challenging, particularly in ultra-dense networks (UDNs) with increased densification. Key challenges include low-complexity architecture, resource allocation, fronthaul limitations, massive access, synchronization, and channel acquisition. The paper discusses open questions, considering different design comparisons and suitable methods for addressing these challenges. It aims to provide a roadmap for future research directions in CF-MMIMO for 6G. The paper also explores the state of the art in CF-MMIMO, including its evolution from point-to-point MIMO to massive MIMO, and its integration with network MIMO and user-centric systems. It highlights the importance of CF-MMIMO in enabling new use cases related to artificial intelligence and multi-sensory interactions. The paper also discusses the practical challenges of densification, including cost and regulatory issues, and emphasizes the necessity of high network density for 6G. It concludes that CF-MMIMO is a key technology for 6G, offering significant improvements in connectivity and performance. The paper also presents a mathematical model for user-centric CF-MMIMO, detailing the system architecture, channel estimation, uplink and downlink data transmission, and the challenges of synchronization and calibration. The paper concludes that CF-MMIMO is a promising technology for 6G, with significant potential for future research and development.Ultra-dense cell-free massive MIMO (CF-MMIMO) is a promising technology for 6G, aiming to meet the growing demands for ubiquitous connectivity and data traffic. This paper provides a comprehensive overview of CF-MMIMO and addresses key challenges and open questions for its deployment. CF-MMIMO involves many access points (APs) distributed over a wide area, coherently serving many users. The total number of APs' antennas is much larger than the number of users, enabling massive MIMO-based techniques and providing high spectral and energy efficiency. However, practical implementation remains challenging, particularly in ultra-dense networks (UDNs) with increased densification. Key challenges include low-complexity architecture, resource allocation, fronthaul limitations, massive access, synchronization, and channel acquisition. The paper discusses open questions, considering different design comparisons and suitable methods for addressing these challenges. It aims to provide a roadmap for future research directions in CF-MMIMO for 6G. The paper also explores the state of the art in CF-MMIMO, including its evolution from point-to-point MIMO to massive MIMO, and its integration with network MIMO and user-centric systems. It highlights the importance of CF-MMIMO in enabling new use cases related to artificial intelligence and multi-sensory interactions. The paper also discusses the practical challenges of densification, including cost and regulatory issues, and emphasizes the necessity of high network density for 6G. It concludes that CF-MMIMO is a key technology for 6G, offering significant improvements in connectivity and performance. The paper also presents a mathematical model for user-centric CF-MMIMO, detailing the system architecture, channel estimation, uplink and downlink data transmission, and the challenges of synchronization and calibration. The paper concludes that CF-MMIMO is a promising technology for 6G, with significant potential for future research and development.