A new application of a fractal concept to quantum physics has been developed. The fractional path integrals over the paths of the Lévy flights are defined. It is shown that if fractality of the Brownian trajectories leads to standard quantum mechanics, then the fractality of the Lévy paths leads to fractional quantum mechanics. The fractional quantum mechanics has been developed via the new fractional path integrals approach. A fractional generalization of the Schrödinger equation has been discovered. The new relationship between the energy and the momentum of the nonrelativistic fractional quantum-mechanical particle has been established, and the Lévy wave packet has been introduced into quantum mechanics. The equation for the fractional plane wave function has been found. We have derived a free particle quantum-mechanical kernel using Fox’s H-function. A fractional generalization of the Heisenberg uncertainty relation has been found. As physical applications of the fractional quantum mechanics we have studied a free particle in a square infinite potential well, the fractional “Bohr atom” and have developed a new fractional approach to the QCD problem of quarkonium. We also discuss the relationships between fractional and the well-known Feynman path integral approaches to quantum mechanics.