Watching the world cup games I was thinking, are there any players which are currently not employed by any club and participating in this world cup?
Algerian Madjid Bougherra, who played in two group stage games, was (according to the German TV commentator I heard) "without a club" when he was substituted in in the 97th minute (i.e. during extra time) in the round-of-16 game against Germany. That was almost an hour before midnight June 30 Algerian time (CET), just after midnight July 1 German time (CEST) and an hour after midnight in Qatar (AST), where he had been employed last (with Champions Lekhwiya), so even when assuming that his contact expired June 30, he was probably without a contract then (although it was still June 30 in Brazil, where he and the TV commentator were at the time).
Mexican goalkeeper Guillermo Ochoa, nicknamed "the wall" after his performance against Brazil, has been mentioned as a "free agent" by a TV commentator when I watched the game (I do not remember hearing this about any other player so far) and in various easily google-able newspaper articles.
This one from June 25, for example, which links him to various European top clubs, states that "his contract with French side Ajaccio expired earlier this summer" (I have been unable to find a reference to the exact date).
Given that almost all European contracts are drawn until the 30th June of a given year (due to the new football season in most of Europe starting on 1st July), technically both Frank Lampard and Ochoa are still club players.
The reason they are reported as free agents is because they, or their club, have indicated that there is no interest from one, or both, parties to extend the contract further. This is much like how Bacary Sagna (France), indicated to Arsenal he will not be signing a new contract and has signed a contract with Manchester City. He's still on Arsenal's books until the 30th June and on the 1st July will become a Manchester City player.
Given that England have already been eliminated, he doesn't fall under the player without a club category, and currently, neither does Ochoa. Mexico, however, are still in the competition at the time of writing, although they face a tough task against the Netherlands on the 29th June to progress further.
Bottom line: if Mexico progress from their tie against the Netherlands, then, and only then will he be a player without a club, two days later (1st July)