The flight of insects has fascinated physicists and biologists for more than a century. Yet, until recently, researchers were unable to rigorously quantify the complex wing motions of flapping insects or measure the forces and flows around their wings. However, recent developments in high-speed videography and tools for computational and mechanical modeling have allowed researchers to make rapid progress in advancing our understanding of insect flight. These mechanical and computational fluid dynamic models, combined with modern flow visualization techniques, have revealed that the fluid dynamic phenomena underlying flapping flight are different from those of non-flapping, 2-D wings on which most previous models were based. In particular, even at high angles of attack, a prominent leading edge vortex remains stably attached on the insect wing and does not shed into an unsteady wake, as would be expected from non-flapping 2-D wings. Its presence greatly enhances the forces generated by the wing, thus enabling insects to hover or maneuver. In addition, flight forces are further enhanced by other mechanisms acting during changes in angle of attack, especially at stroke reversal, the mutual interaction of the two wings at dorsal stroke reversal or wing-wake interactions following stroke reversal. This progress has enabled the development of simple analytical and empirical models that allow us to calculate the instantaneous forces on flapping insect wings more accurately than was previously possible. It also promises to foster new and exciting multi-disciplinary collaborations between physicists who seek to explain the phenomenology, biologists who seek to understand its relevance to insect physiology and evolution, and engineers who are inspired to build micro-robotic insects using these principles. This review covers the basic physical principles underlying flapping flight in insects, results of recent experiments concerning the aerodynamics of insect flight, as well as the different approaches used to model these phenomena.