A whole bunch of missiles actually do, like the Sparrow and Standard.

The longer range ones really can use it to increase hit probability. Or so I've read is true for the Phoenix and AIM-120 missiles, classed as "fire and forget". and the newest Standard missile uses a AIM-120 derived head with a bigger antenna. And I'm sure still depends on mid-course corrections (for that matter, I've read the current models self-destruct if they doesn't get guidance fairly soon after launch).