We review the recent advances and current challenges in the field of strong spin-orbit coupled Kitaev materials, with a particular emphasis on the physics beyond the exactly-solvable Kitaev spin liquid point. To this end, we present a comprehensive overview of the key exchange interactions in candidate materials with a specific focus on systems featuring effective $J_{\rm eff}\!=\!1/2$ magnetic moments. This includes, but not limited to, $5d^5$ iridates, $4d^5$ ruthenates and $3d^7$ cobaltates. Our exploration covers the microscopic origins of these interactions, along with a systematic attempt to map out the most intriguing correlated regimes of the multi-dimensional parameter space. Our approach is guided by robust symmetry and duality transformations as well as insights from a wide spectrum of analytical and numerical studies. We also survey higher spin Kitaev models and recent exciting results on quasi-one-dimensional models and discuss their relevance to higher-dimensional models. Finally, we highlight some of the key questions in the field as well as future directions.