Bound states in the continuum provide a remarkable example of how a simple problem solved about a century ago in quantum mechanics can drive the research on a whole spectrum of resonant phenomena in wave physics. Due to their huge radiative lifetime, bound states in the continuum have found multiple applications in various areas of physics devoted to wave processes, including hydrodynamics, atomic physics, and acoustics. In this review paper, we present a comprehensive description of bound states in the continuum and related effects, focusing mainly on photonic dielectric structures. We review the history of this area, basic physical mechanisms in the formation of bound states in the continuum, and specific examples of structures supporting such states. We also discuss their possible applications in optics, photonics, and radiophysics.