A comparative review is given of some well-known and some recent results obtained in studies of two-and three-dimensional (2D and 3D) solitons, with emphasis on states carrying embedded vorticity. Physical realizations of multidimensional solitons in atomic Bose-Einstein condensates (BECs) and nonlinear optics are briefly discussed too. Unlike 1D solitons, which are typically stable, 2D and 3D ones are vulnerable to instabilities induced by the occurrence of the critical and supercritical collapse, respectively, in the 2D and 3D models with the cubic self-focusing nonlinearity. Vortex solitons are subject to a still stronger splitting instability. For this reason, a central problem is looking for physical settings in which 2D and 3D solitons may be stabilized. The review addresses in detail two well-established topics, viz., the stabilization of vortex solitons by means of competing nonlinearities, or by trapping potentials (harmonic-oscillator and spatially-periodic ones). The former topic includes a new addition, closely related to the recent breakthrough, viz., the prediction and creation of robust quantum droplets. Two other topics included in the review outline new schemes which were recently elaborated for the creation of stable vortical solitons in BEC. One scheme relies on the use of the spin-orbit coupling (SOC) in binary condensates with cubic intrinsic attraction, making it possible to predict stable 2D and 3D solitons, which couple or mix components with vorticities S = 0 and ±1 (semi-vortices (SVs) or mixed modes (MMs), respectively). In this system, the situation is drastically different in the 2D and 3D geometries. In 2D, the SOC helps to create a ground state (GS, which does not exist otherwise), represented by stable SV or MM solitons, whose norm falls below the threshold value at which the critical collapse sets in. In the 3D geometry, the supercritical collapse does not allow one to create a GS, but metastable solitons of the SV and MM types can be constructed. Another new scheme makes it possible to create stable 2D vortex-ring solitons with arbitrarily high S in a binary BEC with components coupled by microwave radiation. Some other topics are addressed briefly, such as vortex solitons in dissipative media, and attempts to create vortex solitons in experiments.List of acronyms: 1D -one-dimensional; 2D -two dimensional; 3D -three-dimensional; BEC -Bose-Einstein condensate; CGLE -complex Ginzburg-Landau equation; CQ -cubic-quintic (nonlinearity), FF -fundamental frequency; GPE -Gross-Pitaevskii equation; GS -ground state; GVD -group-velocity dispersion; HO -harmonic oscillator (potential); HV -hidden vorticity; LHY -Lee-Huang-Yang (correction to the mean-field dynamics of BEC); MF -mean field; MM -mixed mode; NLSE -nonlinear Schrödinger equation; OL -optical lattice; PT -parity-time (symmetry); QD -quantum droplet; SH -second harmonic; SOC -spin-orbit coupling; SV -semi-vortex; TF -Thomas-Fermi (approximation); TS -Townes' soliton; VA -variational approximation; VAV -vortex-antivortex (composit...