Gradings are ubiquitous in the theory of Lie algebras, from the root space decomposition of a complex semisimple Lie algebra relative to a Cartan subalgebra to the beautiful Dempwolff decomposition of $E_8$ as a direct sum of thirty-one Cartan subalgebras. This monograph is a self-contained exposition of the classification of gradings by arbitrary groups on classical simple Lie algebras over algebraically closed fields of characteristic not equal to 2 as well as on some nonclassical simple Lie algebras in positive characteristic. Other important algebras also enter the stage: matrix algebras, the octonions, and the Albert algebra. Most of the presented results are recent and have not yet appeared in book form. This work can be used as a textbook for graduate students or as a reference for researchers in Lie theory and neighbouring areas. This book is published in cooperation with Atlantic Association for Research in the Mathematical Sciences (AARMS).