Optomechanics is concerned with the use of light to control mechanical objects. As a field, it has been hugely successful in the production of precise and novel sensors, the development of low-dissipation nanomechanical devices, and the manipulation of quantum signals. Micro- and nano-particles levitated in optical fields act as nanoscale oscillators, making them excellent low-dissipation optomechanical objects, with minimal thermal contact to the environment when operating in vacuum. Levitated optomechanics is seen as the most promising route for studying high-mass quantum physics, with the promise of creating macroscopically separated superposition states at masses of 106 amu and above. Optical feedback, both using active monitoring or the passive interaction with an optical cavity, can be used to cool the centre-of-mass of levitated nanoparticles well below 1 mK, paving the way to operation in the quantum regime. In addition, trapped mesoscopic particles are the paradigmatic system for studying nanoscale stochastic processes, and have already demonstrated their utility in state-of-the-art force sensing.