This paper aims to develop a theory for studying Cayley graphs, especially for those with a high degree of symmetry. The theory consists of analysing several types of basic Cayley graphs (normal, bi-normal, and core-free), and analysing several operations of Cayley graphs (core quotient, normal quotient, and imprimitive quotient). It provides methods for constructing and characterising various combinatorial objects, such as half-transitive graphs, (orientable and non-orientable) regular Cayley maps, vertex-transitive non-Cayley graphs, and permutation groups containing certain regular subgroups. In particular, a characterisation is given of locally primitive holomorph Cayley graphs, and a classification is given of rotary Cayley maps of simple groups. Also a complete classification is given of primitive permutation groups that contain a regular dihedral subgroup.