It is rather paradoxical that, although entropy is one of the most important quantities in physics, its main properties are rarely listed in the usual textbooks on statistical mechanics. In this paper we try to fill this gap by discussing these properties, as, for instance, invariance, additivity, concavity, subadditivity, strong subadditivity, continuity, etc., in detail, with reference to their implications in statistical mechanics. In addition, we consider related concepts such as relative entropy, skew entropy, dynamical entropy, etc. Taking into account that statistical mechanics deals with large, essentially infinite systems, we finally will get a glimpse of systems with infinitely many degrees of freedom.