Studies of the electromagnetic response of various classes of correlated electron materials including transition-metal oxides, organic and molecular conductors, intermetallic compounds with d and f electrons, as well as magnetic semiconductors are reviewed. Optical inquiry into correlations in all these diverse systems is enabled by experimental access to the fundamental characteristics of an ensemble of electrons including their self-energy and kinetic energy. Steady-state spectroscopy carried out over a broad range of frequencies from microwaves to UV light and fast optics timeresolved techniques provides complimentary prospectives on correlations. Because the theoretical understanding of strong correlations is still evolving, the review is focused on the analysis of the universal trends that are emerging out of a large body of experimental data augmented where possible with insights from numerical studies.