Important physical processes on the Sun, and especially in sunspots, occur on spatial scales at or below the limiting resolution of current solar telescopes. Over the past decade, using a number of new techniques, high-resolution observations have begun to reveal the complex thermal and magnetic structure of a sunspot, along with associated flows and oscillations. During this time remarkable advances in computing power have allowed significant progress in our theoretical understanding of the dynamical processes, such as magnetoconvection, taking place within a sunspot. In this review we summarize the latest observational results and theoretical interpretations of the fine structure in sunspots. A number of projects underway to build new solar telescopes or upgrade existing ones, along with several promising new theoretical ideas, ensure that there will be significant advances in sunspot research over the coming decade.