We present the case for the nonempirical construction of density functional approximations for the exchange-correlation energy by the traditional method of "constraint satisfaction" without fitting to data sets, and present evidence that this approach has been successful on the first three rungs of "Jacob's ladder" of density functional approximations [local spin-density approximation (LSD), generalized gradient approximation (GGA), and meta-GGA]. We expect that this approach will also prove successful on the fourth and fifth rungs (hyper-GGA or hybrid and generalized random-phase approximation). In particular, we argue for the theoretical and practical importance of recovering the correct uniform density limit, which many semiempirical functionals fail to do. Among the beyond-LSD functionals now available to users, we recommend the nonempirical Perdew-Burke-Ernzerhof (PBE) GGA and the nonempirical Tao-Perdew-Staroverov-Scuseria (TPSS) meta-GGA, and their one-parameter hybrids with exact exchange. TPSS improvement over PBE is dramatic for atomization energies of molecules and surface energies of solids, and small or moderate for other properties. TPSS is now or soon will be available in standard codes such as GAUSSIAN, TURBOMOLE, NWCHEM, ADF, WIEN, VASP, etc. We also discuss old and new ideas to eliminate the self-interaction error that plagues the functionals on the first three rungs of the ladder, bring up other related issues, and close with a list of "do's and don't's" for software developers and users.