After three decades of developments, single particle tracking (SPT) has become a powerful tool to interrogate dynamics in a range of materials including live cells and novel catalytic supports because of its ability to reveal dynamics in the structure-function relationships underlying the heterogeneous nature of such systems. In this review, we summarize the algorithms behind, and practical applications of, SPT. We first cover the theoretical background including particle identification, localization, and trajectory reconstruction. General instrumentation and recent developments to achieve two- and three-dimensional subdiffraction localization and SPT are discussed. We then highlight some applications of SPT to study various biological and synthetic materials systems. Finally, we provide our perspective regarding several directions for future advancements in the theory and application of SPT.