Compass models are theories of matter in which the couplings between the internal spin (or other relevant field) components are inherently spatially (typically, direction) dependent. A simple illustrative example is furnished by the 90 • compass model on a square lattice in which only couplings of the form τ x i τ x j (where {τ a i }a denote Pauli operators at site i) are associated with nearest neighbor sites i and j separated along the x axis of the lattice while τ y i τ y j couplings appear for sites separated by a lattice constant along the y axis. Such compass-type interactions can appear in diverse physical systems. This includes Mott insulators with orbital degrees of freedom where interactions sensitively depend on the spatial orientation of the orbitals involved, the low energy effective theories of frustrated quantum magnets, vacancy centers and cold atomic gases. The fundamental inter-dependence between internal (spin, orbital, or other) and external (i.e., spatial) degrees of freedom which underlies compass models generally leads to very rich behaviors including the frustration of (semi-)classical ordered states on non-frustrated lattices and to enhanced quantum effects prompting, in certain cases, the appearance of zero temperature quantum spin liquids. As a consequence of these frustrations, new types of symmetries and their associated degeneracies may appear. These intermediate symmetries lie midway between the extremes of global symmetries and local gauge symmetries and lead to effective dimensional reductions. We review compass models in a unified manner, paying close attention to exact consequences of these symmetries, and to thermal and quantum fluctuations that stabilize orders via order out of disorder effects. This is complemented by a survey of numerical results.