We provide a comprehensive review of major developments in our understanding of gamma-ray bursts, with particular focus on the discoveries made within the last fifteen years when their true nature was uncovered. We describe the observational properties of photons from the radio to 100s GeV bands, both in the prompt emission and the afterglow phases. Mechanisms for the generation of these photons in GRBs are discussed and confronted with observations to shed light on the physical properties of these explosions, their progenitor stars and the surrounding medium. After presenting observational evidence that a powerful, collimated, jet moving at close to the speed of light is produced in these explosions, we describe our current understanding r...