The control of levitated nano-and micro-objects in vacuum is of considerable interest, capitalizing on the scientific achievements in the fields of atomic physics, control theory and optomechanics. The ability to couple the motion of levitated systems to internal degrees of freedom, as well as to external forces and systems, provides opportunities for science and technology. Attractive research directions, ranging from fundamental quantum physics to commercial sensors, have been unlocked by the many recent experimental achievements, including motional ground-state cooling of an optically levitated nanoparticle. We review the status, challenges and prospects of levitodynamics, the mutidisciplinary research devoted to understanding, controlling, and using levitated nano-and micro-objects in vacuum.