We consider Markov processes on large state spaces and want to find lowdimensional structure-preserving approximations of the process in the sense that the longest timescales of the dynamics of the original process are reproduced well. Recent years have seen the advance of so-called Markov state models (MSM) for processes on very large state spaces exhibiting metastable dynamics. It has been demonstrated that MSMs are especially useful for modelling the interesting slow dynamics of biomolecules (cf. Noe et al, PNAS(106) 2009) and materials. From the mathematical perspective, MSMs result from Galerkin projection of the transfer operator underlying the original process onto some low-dimensional subspace which leads to an approximation of the dominant eigenvalues of the transfer operators and thus of the longest timescales of the original dynamics. Until now, most articles on MSMs have been based on full subdivisions of state space, i.e., Galerkin projections onto subspaces spanned by indicator functions. We show how to generalize MSMs to alternative lowdimensional subspaces with superior approximation properties, and how to analyse the approximation quality (dominant eigenvalues, propagation of functions) of the resulting MSMs. To this end, we give an overview of the construction of MSMs, the associated stochastics and functional-analysis background, and its algorithmic consequences. Furthermore, we illustrate the mathematical construction with numerical examples.