Dispersions of colloidal particles in nematic liquid crystals show new classes of interparticle forces, which are anisotropic, long range, and several thousand times stronger than van der Waals forces in water-based colloids. These forces are responsible for a variety of new self-assembled colloidal microstructures, which cannot be observed in isotropic solvents, such as chains of microspheres and cellular soft solid materials. Basic principles of particle self-assembly in 2D nematic colloids are discussed, showing this is a novel paradigm in colloid science, which could lead to new approaches of colloidal self-assembly for photonic devices.