Multiferroic materials, which show simultaneous ferroelectric and magnetic ordering, exhibit unusual physical properties - and in turn promise new device applications - as a result of the coupling between their dual order parameters. We review recent progress in the growth, characterization and understanding of thin-film multiferroics. The availability of high-quality thin-film multiferroics makes it easier to tailor their properties through epitaxial strain, atomic-level engineering of chemistry and interfacial coupling, and is a prerequisite for their incorporation into practical devices. We discuss novel device paradigms based on magnetoelectric coupling, and outline the key scientific challenges in the field.