We present a comprehensive overview of microrheology, emphasizing the underlying theory, practical aspects of its implementation, and current applications to rheological studies in academic and industrial laboratories. Key methods and techniques are examined, including important considerations to be made with respect to the materials most amenable to microrheological characterization and pitfalls to avoid in measurements and analysis. The fundamental principles of all microrheology experiments are presented, including the nature of colloidal probes and their movement in fluids, soft solids, and viscoelastic materials. Microrheology is divided into two general areas, depending on whether the probe is driven into motion by thermal forces (passive), or by an external force (active). We present the theory and practice of passive microrheology, including an in-depth examination of the Generalized Stokes-Einstein Relation (GSER). We carefully treat the assumptions that must be made for these techniques to work, and what happens when the underlying assumptions are violated. Experimental methods covered in detail include particle tracking microrheology, tracer particle microrheology using dynamic light scattering and diffusing wave spectroscopy, and laser tracking microrheology. Second, we discuss the theory and practice of active microrheology, focusing specifically on the potential and limitations of extending microrheology to measurements of non-linear rheological properties, like yielding and shear-thinning. Practical aspects of magnetic and optical tweezer measurements are preseted. Finally, we highlight important applications of microrheology, including measurements of gelation, degradation, high-throughput rheology, protein solution viscosities, and polymer dynamics.