Bound states in the continuum are waves that, defying conventional wisdom, remain localized even though they coexist with a continuous spectrum of radiating waves that can carry energy away. Their existence was first proposed in quantum mechanics and, being a general wave phenomenon, later identified in electromagnetic, acoustic, and water waves. They have been studied in a wide variety of material systems such as photonic crystals, optical waveguides and fibers, piezoelectric materials, quantum dots, graphene, and topological insulators. This Review describes recent developments in this field with an emphasis on the physical mechanisms that lead to these unusual states across the seemingly very different platforms. We discuss recent experimental realizations, existing applications, and directions for future work.