There exist several well-motivated candidates for non-baryonic cold dark matter, including neutralinos, axions, axinos, gravitinos, Wimpzillas. I review the dark matter properties of the neutralino and the current status of its detection. I also discuss the axino as a new interesting alternative. There exist several well-motivated candidates for non-baryonic cold dark matter, including neutralinos, axions, axinos, gravitinos, Wimpzillas. I review the dark matter properties of the neutralino and the current status of its detection. I also discuss the axino as a new interesting alternative.