Classical dynamical density functional theory (DDFT) is one of the cornerstones of modern statistical mechanics. It is an extension of the highly successful method of classical density functional theory (DFT) to nonequilibrium systems. Originally developed for the treatment of simple and complex fluids, DDFT is now applied in fields as diverse as hydrodynamics, materials science, chemistry, biology, and plasma physics. In this review, we give a broad overview over classical DDFT. We explain its theoretical foundations and the ways in which it can be derived. The relations between the different forms of deterministic and stochastic DDFT as well as between DDFT and related theories, such as quantum-mechanical time-dependent DFT, mode coupling theory, and phase field crystal models, are clarified. Moreover, we discuss the wide spectrum of extensions of DDFT, which covers methods with additional order parameters (like extended DDFT), exact approaches (like power functional theory), and systems with more complex dynamics (like active matter). Finally, the large variety of applications, ranging from fluid mechanics and polymer physics to solidification, pattern formation, biophysics, and electrochemistry, is presented.