Let us assume that $N$ stars have ever been born in the Milky Way galaxy, and given them masses between 0.1 and 100$M_{\odot}$. Next, assume that stars have been born with a mass distribution that approximates to the Salpeter mass function - $n(m) \propto m^{-2.3}$. Then assume that all stars with mass $m>25M_{\odot}$ end their lives as black holes.
So, if $n(m) = Am^{-2.3}$, then
$$N = \int^{100}_{0.1} A m^{-2.3}\ dm$$
and thus $A=0.065N$.
The number of black holes created will be
$$N_{BH} = \int^{100}_{25} Am^{-2.3}\ dm = 6.4\times10^{-4} N$$
i.e 0.06% of stars in the Galaxy become black holes. NB: The finite lifetime of the galaxy is irrelevant here because it is much longer than the lifetime of black hole progenitors.
Now, I follow the other answers by scaling to the number of stars in the solar neighbourhood, which is approximately 1000 in a sphere of 15 pc radius $\simeq 0.07$ pc$^{-3}$. I assume that as stellar lifetime scales as $M^{-2.5}$ and the Sun's lifetimes is about the age of the Galaxy, that almost all the stars ever born are still alive. Thus, the black hole density is $\simeq 4.5 \times 10^{-5}$ pc$^{-3}$ and so there is one black hole within 18 pc.
OK, so why might this number be wrong? Although the number is very insensitive to the assumed upper mass limit of stars, it is very sensitive to the assumed lower mass limit. This could be higher or lower depending on the very uncertain details of the late stellar evolution and mass-loss from massive stars. This could drive our answer up or down.
Some fraction $f$ of these black holes will merge with other black holes or will escape the Galaxy due to "kicks" from a supernova explosion or interactions with other stars in their dense, clustered birth environments (though not all black holes require a supernova explosion for their creation). We don't know what this fraction is, but it increases our answer by a factor $(1-f)^{-1/3}$.
Even if they don't escape, it is highly likely that black holes will have a much higher velocity dispersion and hence spatial dispersion above and below the Galactic plane compared with "normal" stars. This is especially true considering most black holes will be very old, since most star formation (including massive star formation) occurred early in the life of the Galaxy, and black hole progenitors die very quickly. Old stars (and black holes) have their kinematics "heated" so that their velocity and spatial dispersions increase.
I conclude that black holes will therefore be under-represented in the solar neighbourhood compared with the crude calculations above and so you should treat the 18pc as a lower limit to the expectation value, although of course it is possible (though not probable) that a closer one could exist.
