Over the past decade, technological advances in experimental and animal tracking techniques have motivated a renewed theoretical interest in animal collective motion and, in particular, locust swarming. This review offers a comprehensive biological background followed by comparative analysis of recent models of locust collective motion, in particular locust marching, their settings, and underlying assumptions. We describe a wide range of recent modeling and simulation approaches, from discrete agent-based models of self-propelled particles to continuous models of integro-differential equations, aimed at describing and analyzing the fascinating phenomenon of locust collective motion. These modeling efforts have a dual role: The first views locusts as a quintessential example of animal collective motion. As such, they aim at abstraction and coarse-graining, often utilizing the tools of statistical physics. The second, which originates from a more biological perspective, views locust swarming as a scientific problem of its own exceptional merit. The main goal should, thus, be the analysis and prediction of natural swarm dynamics. We discuss the properties of swarm dynamics using the tools of statistical physics, as well as the implications for laboratory experiments and natural swarms. Finally, we stress the importance of a combined-interdisciplinary, biological-theoretical effort in successfully confronting the challenges that locusts pose at both the theoretical and practical levels.