Biodiesel, as renewable and biological origin alternative diesel fuel, has been receiving a lot of concern throughout the world due to the energy needs and environmental awareness. However, at present, it is not economically feasible to use food-grade vegetable oils to produce biodiesel because of the surge in feedstocks price. Much attention has been devoted to the application of lower-cost feedstocks to produce biodiesel. This paper provided a comprehensive review of biodiesel production from lower-cost non-edible oil sources, such as waste cooking oil (WCO), grease, soapstock, Jatropha oil, and algae. The engine performances of biodiesel produced from these feedstocks were further evaluated. This review also investigated the various applications for the value-added products from glycerol, the byproduct of biodiesel. Moreover, the challenges in terms of different feedstocks and by-product applications were further pointed out.