When systems that can undergo phase separation between two coexisting phases in the bulk are confined in thin film geometry between parallel walls, the phase behavior can be profoundly modified. These phenomena shall be described and exemplified by computer simulations of the Asakura-Oosawa model for colloid-polymer mixtures, but applications to other soft matter systems (e.g. confined polymer blends) will also be mentioned. Typically a wall will prefer one of the phases, and hence the composition of the system in the direction perpendicular to the walls will not be homogeneous. If both walls are of the same kind, this effect leads to a distortion of the phase diagram of the system in thin film geometry, in comparison with the bulk, analogous to the phenomenon of "capillary condensation" of simple fluids in thin capillaries. In the case of "competing walls", where both walls prefer different phases of the two phases coexisting in the bulk, a state with an interface parallel to the walls gets stabilized. The transition from the disordered phase to this "soft mode phase" is rounded by the finite thickness of the film and is not a sharp phase transition. However, a sharp transition can occur where this interface gets localized at (one of) the walls. The relation of this interface localization transition to wetting phenomena is discussed. Finally, an outlook to related phenomena is given, such as the effects of confinement in cylindrical pores on the phase behavior, and more complicated ordering phenomena (lamellar mesophases of block copolymers or nematic phases of liquid crystals under confinement).