Device-independent quantum key distribution (DI-QKD) is often seen as the ultimate key exchange protocol in terms of security, as it can be performed securely with uncharacterised black-box devices. The advent of DI-QKD closes several loopholes and side-channels that plague current QKD systems. While implementing DI-QKD protocols is technically challenging, there have been recent proof-of-principle demonstrations, resulting from the progress made in both theory and experiments. In this review, we will provide an introduction to DI-QKD, an overview of the related experiments performed, and the theory and techniques required to analyse its security. We conclude with an outlook on future DI-QKD research.