From what you say ("this friend" for instance) you don't quite identify her as a close person to you.
From my experience, friendships based on fun are mostly distant at its core. Adding elements such as confiding can greatly alter relationships, from better to worse. However, this can deepen relationships and give them deeper meaning.
When you confide something about yourself, you give a chance for another person to talk about something that is also on their heart, too.
It breaks yet another ice in relationships between people, binding them further.
I like to call "fun" an escape, or a "drug" from things we hold inside.

Sometimes when we hide something inside, our behavior changes. For people with a flowing relationship, a changing behavior can easily feel as a change in the relationship.

I will summarize with a metaphor I just wrote:
Relationships are like a mine - If you focus on the gold, it will run out quickly. But if you pay attention to everything else inside, you'll be there forever.