The aim of this paper is to give a wide introduction to approximation concepts in the theory of stochastic differential equations. The paper is principally concerned with Wong-Zakai approximations. Our aim is to fill a gap in the literature caused by the complete lack of monographs on such approximation methods for stochastic differential equations; this will be the objective of the author's forthcoming book. First, we briefly review the currently-known approximation results for finite-and infinite-dimensional equations. Then the author's results are preceded by the introduction of two new forms of correction terms in infinite dimensions appearing in the Wong-Zakai approximations. Finally, these results are divided into four parts: for stochastic delay equations, for semilinear and nonlinear stochastic equations in abstract spaces, and for the NavierStokes equations. We emphasize in this paper results rather than proofs. Some applications are indicated.Mathematics Subject Classifications (1991): 60H15, 60H10, 60H05, 34K50, 41A10, 65C20, 35Q30, 35R60.