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The stabilization and manipulation of laser frequency by means of an external cavity are nearly ubiquitously used in fundamental research and laser applications. While most of the laser light transmits through the cavity, in the presence of some back-scattered light from the cavity to the laser, the self-injection locking effect can take place, which locks the laser emission frequency to the cavity mode of similar frequency. The self-injection locking leads to dramatic reduction of laser linewidth and noise. Using this approach, a common semiconductor laser locked to an ultrahigh-$Q$ microresonator can obtain sub-hertz linewidth, on par with state-of-the-art fiber lasers. Therefore it paves the way to manufacture high-performance semiconductor lasers with reduced footprint and cost. Moreover, with high laser power, the optical nonlinearity of the microresonator drastically changes the laser dynamics, offering routes for simultaneous pulse and frequency comb generation in the same microresonator. Particularly, integrated photonics technology, enabling components fabricated via semiconductor CMOS process, has brought increasing and extending interest to laser manufacturing using this method. In this article, we present a comprehensive tutorial on analytical and numerical methods of laser self-injection locking, as well a review of most recent theoretical and experimental achievements.