Estimating the states of surrounding traffic participants stays at the core of autonomous driving. In this paper, we study a novel setting of this problem: model-free single-object tracking (SOT), which takes the object state in the first frame as input, and jointly solves state estimation and tracking in subsequent frames. The main purpose for this new setting is to break the strong limitation of the popular detection and tracking scheme in multi-object tracking. Moreover, we notice that shape completion by overlaying the point clouds, which is a by-product of our proposed task, not only improves the performance of state estimation but also has numerous applications. As no benchmark for this task is available so far, we construct a new dataset LiDAR-SOT and corresponding evaluation protocols based on the Waymo Open dataset. We then propose an optimization-based algorithm called SOTracker involving point cloud registration, vehicle shapes, correspondence, and motion priors. Our quantitative and qualitative results prove the effectiveness of our SOTracker and reveal the challenging cases for SOT in point clouds, including the sparsity of LiDAR data, abrupt motion variation, etc. Finally, we also explore how the proposed task and algorithm may benefit other autonomous driving applications, including simulating LiDAR scans, generating motion data, and annotating optical flow. The code and protocols for our benchmark and algorithm are available at https://github.com/TuSimple/LiDAR_SOT/. A video demonstration is at https://www.youtube.com/watch?v=BpHixKs91i8.