Must my pidfile be located in /var/run?
Solution 1:
I wouldn't put a pidfile under an application installation directory such as /opt/my_app/whatever. This directory could be mounted read-only, could be shared between machines, could be watched by a daemon that treats any change there as a possible break-in attempt…
The normal location for pidfiles is /var/run. Most unices will clean this directory on boot; under Ubuntu this is achieved by /var/run an in-memory filesystem (tmpfs).
If you start your daemon from a script that's running as root, have it create a subdirectory /var/run/gmooredaemon and chown it to the daemon-running user before suing to the user and starting the daemon.
On many modern Linux systems, if you start the daemon from a script or launcher that isn't running as root, you can put the pidfile in /run/user/$UID, which is a per-user equivalent of the traditional /var/run. Note that the root part of the launcher, or a boot script running as root, needs to create the directory (for a human user, the directory is created when the user logs in).
Otherwise, pick a location under /tmp or /var/tmp, but this introduces additional complexity because the pidfile's name can't be uniquely determined if it's in a world-writable directory.
In any case, make it easy (command-line option, plus perhaps a compile-time option) for the distributor or administrator to change the pidfile location.
Solution 2:
The location of the pid file should be configurable. /var/run is standard for pid files, the same as /var/log is standard for logs. But your daemon should allow you to overwrite this setting in some config file.
Solution 3:
/opt is used to install 'self-contained' applications, so nothing wrong here. Using /opt/my_app/etc/ for config files, /opt/my_app/log/ for logs and so on - common practice for this kind of application.
This away you can distribute your applications as a TGZ file instead of maintaining a package for every package manager (at least DEB since you tagged ubuntu). I would recommend this for in-house applications or situations where you have great control over the environment. The reasoning is that it makes no sense if the safe costs more than what you are putting inside (the work required to pack the application should not eclipse the effort required to write the application).