The theory and applications of wave self-focusing, collapse, and strongly nonlinear wave turbulence are reviewed. In the last decade, the theory of these phenomena and experimental realizations have progressed rapidly. Various nonlinear wave systems are discussed, but the simplest case of collapse and strong turbulence of Langmuir waves in an unmagnetized plasma is primarily used in explaining the theory and illustrating the main ideas. First, an overview of the basic physics of linear waves and nonlinear wave-wave interactions is given from an introductory perspective. Wave-wave processes are then considered in more detail. Next, an introductory overview of the physics of wave collapse and strong turbulence is provided, followed by a more detailed theoretical treatment. Later sections cover numerical simulations of Langmuir collapse and strong turbulence and experimental applications to space, ionospheric, and laboratory plasmas, including laser-plasma and beam-plasma interactions. Generalizations to self-focusing, collapse, and strong turbulence of waves in other systems are also discussed, including nonlinear optics, solid-state systems, magnetized auroral and astrophysical plasmas, and deep-water waves. The review ends with a summary of the main ideas of wave collapse and strong-turbulence theory, a collection of open questions in the field, and a brief discussion of possible future research directions.