Continuum models of media with zero pressure are widely used in various branches of physics and mechanics, including studies of a dilute dispersed phase in multiphase flows. In zero-pressure media, the particle trajectories may intersect, “folds” and “puckers” of the phase volume may arise, and “caustics” (the envelopes of particle trajectories) may appear, near which the density of the medium sharply increases. In recent decades, the phenomena of clustering and aerodynamic focusing of inertial admixture in gas and liquid flows have attracted increasing attention of researchers. This is due to the importance of taking into account the inhomogeneities in the impurity concentration when describing the transport of aerosol pollutants in the environment, the mechanisms of droplet growth in rain clouds, scattering of radiation by dispersed inclusions, initiation of detonation in two-phase mixtures, as well as when solving problems of two-phase aerodynamics, interpretation of measurements obtained by LDV or PIV methods, and in many other applications. These problems gave an impetus to a significant increase in the number of publications devoted to the processes of accumulation and clustering of inertial particles in gas and liquid flows. Within the framework of classical two-fluid models and standard Eulerian approaches assuming single-valuedness of continuum parameters of the media, it turns out impossible to describe zones of multi-valued velocity fields and density singularities in flows with crossing particle trajectories. One of the alternatives is the full Lagrangian approach proposed by the author earlier. In recent years, this approach has been further developed in combination with averaged Eulerian and Lagrangian (vortex-blob method) methods for describing the dynamics of the carrier phase. Such combined approaches made it possible to study the structure of local zones of accumulation of inertial particles in vortex, transient, and turbulent flows. This article describes the basic ideas of the full Lagrangian approach, provides examples of the most significant results which illustrate the unique capabilities of the method, and gives an overview of the main directions of further development of the method as applied to transient, vortex, and turbulent flows of “gas-particle” media. Some of the ideas discussed and the results presented below are of a more general interest, since they are also applicable to other models of zero-pressure media.