Ultralong-range Rydberg molecules (ULRMs) comprise a Rydberg atom in whose electron cloud are embedded one (or more) ground-state atoms that are weakly-bound through their scattering of the Rydberg electron. The existence of such novel molecular species was first predicted theoretically in 2000 but they were not observed in the laboratory until 2009. Since that time, interest in their chemical properties, physical characteristics, and applications has increased dramatically. We discuss here recent advances in the study of ULRMs. These have yielded a wealth of information regarding low-energy electron scattering in an energy regime difficult to access using alternate techniques, and have provided a valuable probe of non-local spatial correlations in quantum gases elucidating the effects of quantum statistics. Studies in dense environments, where the Rydberg electron cloud can enclose hundreds, or even thousands, of ground-state atoms, have revealed many-body effects such as the creation of Rydberg polarons. The production of overlapping clouds of different cold atoms has enabled the creation of heteronuclear ULRMs. Indeed, the wide variety of atomic and molecular species that can now be cooled promises, through the careful choice of atomic (or molecular) species, to enable the production of ULRMs with properties tailored to meet a variety of different needs and applications.