We briefly overview historical, fundamental, and practical aspects of light wave propagation, where strong multidimensional localization and precise control of ultrashort signals is demanded. The main topic is focused on the state of art of recently discovered nonlinear conical waves, or so-called X-shaped light bullets, which have been demonstrated to appear spontaneously in many different, frequently encountered operating regimes in transparent gaseous, liquid, and solid media. Owing to unique features of white-light frequency spectrum, strong localization, deep-field stationarity, and hot-spot regeneration property, nonlinear conical waves have great potential in all applications requiring energy transfer to matter over very limited transverse areas in thick media, which thus suffer the short focal depth of conventional laser beams. Practical applications that cover many different areas ranging from nano-science to high-field physics are discussed.