Shear thickening is a type of non-Newtonian behavior in which the stress required to shear a fluid increases faster than linearly with shear rate. Many concentrated suspensions of particles exhibit an especially dramatic version, known as Discontinuous Shear Thickening (DST), in which the stress suddenly jumps with increasing shear rate and produces solid-like behavior. The best known example of such counter-intuitive response to applied stresses occurs in mixtures of cornstarch in water. Over the last several years, this shear-induced solid-like behavior together with a variety of other unusual fluid phenomena has generated considerable interest in the physics of densely packed suspensions. In this review, we discuss the common physical properties of systems exhibiting shear thickening, and different mechanisms and models proposed to describe it. We then suggest how these mechanisms may be related and generalized, and propose a general phase diagram for shear thickening systems. We also discuss how recent work has related the physics of shear thickening to that of granular materials and jammed systems. Since DST is described by models that require only simple generic interactions between particles, we outline the broader context of other concentrated many-particle systems such as foams and emulsions, and explain why DST is restricted to the parameter regime of hard-particle suspensions. Finally, we discuss some of the outstanding problems and emerging opportunities.