Synthetic oligonucleotides (ONs) are being investigated for various therapeutic and diagnostic applications. The interest in ONs arises because of their capability to cause selective inhibition of gene expression by binding to the target DNA/RNA sequences through mechanisms such as antigene, antisense, and RNA interference. ONs with catalytic activity (ribozymes and DNAzymes) against the target sequences, and ability to bind to the target molecules (aptamers), ranging from small molecules to proteins, are also known. Therefore ONs are considered potentially useful for the treatment of viral diseases and cancer. ONs also find use in the design of DNA microchips (a powerful bio-analytical tool) and novel materials in nanotechnology. However, the clinical success achieved so far with ONs has not been satisfactory, and the major impediments have been recognised as their instability against nucleases, lack of target specificity, and poor uptake and targeted delivery. Tremendous efforts have been made to improve the ON properties by either incorporating chemical modifications in the ON structure or covalently linking (conjugation) reporter groups, with biologically relevant properties, to ONs. Conjugation is of great interest because it can be used not only to improve the existing ON properties but also to impart entirely new properties. This tutorial review focuses on the recent developments in ON conjugation, and describes the key challenges in efficient ON conjugation and major synthetic approaches available for successful ON conjugate syntheses. In addition, an overview on major classes of ON conjugates along with their use in therapeutics, diagnostics and nanotechnology is provided.