Individual molecular motors, or motor proteins, are enzymatic molecules that convert chemical energy, typically obtained from the hydrolysis of ATP (adenosine triphosphate), into mechanical work and motion. Processive motor proteins, such as kinesin, dynein, and certain myosins, step unidirectionally along linear tracks, specifically microtubules and actin filaments, and play a crucial role in cellular transport processes, organization, and function. In this review some theoretical aspects of motor-protein dynamics are presented in the light of current experimental methods that enable the measurement of the biochemical and biomechanical properties on a single-molecule basis. After a brief discussion of continuum ratchet concepts, we focus on discrete kinetic and stochastic models that yield predictions for the mean velocity, V(F, [ATP], ...), and other observables as a function of an imposed load force F, the ATP concentration, and other variables. The combination of appropriate theory with single-molecule observations should help uncover the mechanisms underlying motor-protein function.