The interior of a living cell is a crowded, heterogenuous, fluctuating environment. Hence, a major challenge in modeling intracellular transport is to analyze stochastic processes within complex environments. Broadly speaking, there are two basic mechanisms for intracellular transport: passive diffusion and motor-driven active transport. Diffusive transport can be formulated in terms of the motion of an over-damped Brownian particle. On the other hand, active transport requires chemical energy, usually in the form of ATP hydrolysis, and can be direction specific, allowing biomolecules to be transported long distances; this is particularly important in neurons due to their complex geometry. In this review we present a wide range of analytical methods and models of intracellular transport. In the case of diffusive transport, we consider narrow escape problems, diffusion to a small target, confined and single-file diffusion, homogenization theory, and fractional diffusion. In the case of active transport, we consider Brownian ratchets, random walk models, exclusion processes, random intermittent search processes, quasisteady-state reduction methods, and mean field approximations. Applications include receptor trafficking, axonal transport, membrane diffusion, nuclear transport, protein-DNA interactions, virus trafficking, and the self-organization of subcellular structures.