Many complex fluids undergo a flow induced transition to a state of coexisting bands of differing viscosities and internal structuring. This effect, which is called "shear banding", is widely observed in wormlike micellar surfactants, onion surfactants, colloidal suspensions and polymer solutions. According to a rapidly accumulating body of experimental evidence, shear bands often exhibit complex dynamics, which can be either oscillatory or chaotic in nature. This can be seen in the unsteady response of the bulk rheological signals, and in the motion of the interface between the bands. After giving a brief overview of this experimental evidence, we review in some detail recent efforts to address it theoretically.