Modern laser sources nowadays deliver ultrashort light pulses reaching few cycles in duration, high energies beyond the Joule level and peak powers exceeding several terawatt (TW). When such pulses propagate through optically-transparent media, they first self-focus in space and grow in intensity, until they generate a tenuous plasma by photo-ionization. For free electron densities and beam intensities below their breakdown limits, these pulses evolve as self-guided objects, resulting from successive equilibria between the Kerr focusing process, the chromatic dispersion of the medium, and the defocusing action of the electron plasma. Discovered one decade ago, this self-channeling mechanism reveals a new physics, widely extending the frontiers of nonlinear optics. Implications include long-distance propagation of TW beams in the atmosphere, supercontinuum emission, pulse shortening as well as high-order harmonic generation. This review presents the landmarks of the 10-odd-year progress in this field. Particular emphasis is laid to the theoretical modeling of the propagation equations, whose physical ingredients are discussed from numerical simulations. Differences between femtosecond pulses propagating in gaseous or condensed materials are underlined. Attention is also paid to the multifilamentation instability of broad, powerful beams, breaking up the energy distribution into small-scale cells along the optical path. The robustness of the resulting filaments in adverse weathers, their large conical emission exploited for multipollutant remote sensing, nonlinear spectroscopy, and the possibility to guide electric discharges in air are finally addressed on the basis of experimental results.