Several classes of biological molecules that transform chemical energy into mechanical work are known as motor proteins or molecular motors. These nanometer-sized machines operate in noisy stochastic isothermal environments, strongly supporting fundamental cellular processes such as the transfer of genetic information, transport, organization and functioning. In the past two decades motor proteins have become a subject of intense research efforts, aimed at uncovering the fundamental principles and mechanisms of molecular motor dynamics. In this review, we critically discuss recent progress in experimental and theoretical studies on motor proteins. Our focus is on analyzing fundamental concepts and ideas that have been utilized to explain the non-equilibrium nature and mechanisms of molecular motors.