Interplanetary coronal mass ejections (ICMEs) are large-scale heliospheric transients that originate from the Sun. When an ICME is sufficiently faster than the preceding solar wind, a shock wave develops ahead of the ICME. The turbulent region between the shock and the ICME is called the sheath region. ICMEs and their sheaths and shocks are all interesting structures from the fundamental plasma physics viewpoint. They are also key drivers of space weather disturbances in the heliosphere and planetary environments. ICME-driven shock waves can accelerate charged particles to high energies. Sheaths and ICMEs drive practically all intense geospace storms at the Earth, and they can also affect dramatically the planetary radiation environments and atmospheres. This review focuses on the current understanding of observational signatures and properties of ICMEs and the associated sheath regions based on five decades of studies. In addition, we discuss modelling of ICMEs and many fundamental outstanding questions on their origin, evolution and effects, largely due to the limitations of single spacecraft observations of these macro-scale structures. We also present current understanding of space weather consequences of these large-scale solar wind structures, including effects at the other Solar System planets and exoplanets. We specially emphasize the different origin, properties and consequences of the sheaths and ICMEs.