The scope of this review article is to discuss the locality of occupied and virtual orthogonal Hartree-Fock orbitals generated by localization function optimization. Locality is discussed from the stand that an orbital is local if it is confined to a small region in space. Focusing on locality measures that reflects the spatial extent of the bulk of an orbital and the thickness of orbital tails, we discuss, with numerical illustrations, how the locality may be reported for individual orbitals as well as for sets of orbitals. Traditional and more recent orbital localization functions are reviewed, and the locality measures are used to compare the locality of the orbitals generated by the different localization functions, both for occupied and virtual orbitals. Numerical illustrations are given also for large molecular systems and for cases where diffuse functions are included in the atomic orbital basis. In addition, we have included a discussion on the physical and mathematical limitations on orbital locality.