Quantum systems of many particles, which satisfy the ergodicity hypothesis, are conventionally described by statistical mechanics. However, not all quantum systems are ergodic, with many-body localization providing a generic mechanism of ergodicity breaking by disorder. Many-body localized (MBL) systems remain perfect insulators at non-zero temperature, which do not thermalize and therefore cannot be described using statistical mechanics. In the Colloquium: Many-body localization, thermalization, and entanglement written together with D. Abanin, E. Altman, and I. Bloch and recently published at Reviews of Modern Physics, we summarize recent theoretical and experimental advances in studies of MBL systems, focusing on the new perspective provided by entanglement and non-equilibrium experimental probes such as quantum quenches.