Colloidal dispersions are commonly encountered in everyday life and represent an important class of complex fluid. Of particular significance for many commercial products and industrial processes is the ability to control and manipulate the macroscopic flow response of a dispersion by tuning the microscopic interactions between the constituents. An important step towards attaining this goal is the development of robust theoretical methods for predicting from first-principles the rheology and nonequilibrium microstructure of well defined model systems subject to external flow. In this review we give an overview of some promising theoretical approaches and the phenomena they seek to describe, focusing, for simplicity, on systems for which the colloidal particles interact via strongly repulsive, spherically symmetric interactions. In presenting the various theories, we will consider first low volume fraction systems, for which a number of exact results may be derived, before moving on to consider the intermediate and high volume fraction states which present both the most interesting physics and the most demanding technical challenges. In the high volume fraction regime particular emphasis will be given to the rheology of dynamically arrested states.