Spin-orbit coupling links a particle's velocity to its quantum-mechanical spin, and is essential in numerous condensed matter phenomena, including topological insulators and Majorana fermions. In solid-state materials, spin-orbit coupling originates from the movement of electrons in a crystal's intrinsic electric field, which is uniquely prescribed in any given material. In contrast, for ultracold atomic systems, the engineered 'material parameters' are tunable: a variety of synthetic spin-orbit couplings can be engineered on demand using laser fields. Here we outline the current experimental and theoretical status of spin-orbit coupling in ultracold atomic systems, discussing unique features that enable physics impossible in any other known setting.