Lorentz invariance is one of the foundations of modern physics; however, Lorentz violation may happen from the perspective of quantum gravity, and plenty of studies on Lorentz violation have arisen in recent years. As a good tool to explore Lorentz violation, Finsler geometry is a natural and fundamental generalization of Riemann geometry. The Finsler structure depends on both coordinates and velocities. Here, we simply introduce the mathematics of Finsler geometry. We review the connection between modified dispersion relations and Finsler geometries and discuss the physical influence from Finsler geometry. We review the connection between Finsler geometries and theories of Lorentz violation, such as the doubly special relativity, the standard-model extension, and the very special relativity.