Self-assembly is a spontaneous process by which molecules to macroscopic entities assembled into one-, two- and three-dimensional ordered array. Even though, much attention has been focused on molecular self-assembly, numerous fascinating applications of self-assembling processes can be found at nanoscale to microscale level. Well-defined ordered structures prepared through the self-assembly of colloidal nanoscale to microscale particles, provide new opportunities for optimizing, tuning and/or enhancing the properties and performance of the materials. In this review, we have provided a concise and comprehensive account of the latest research and development activities in the fabrication, properties and applications of self-assembled structures from colloidal building blocks of various metals, semiconductors, oxides and polymers. The applicability, limitations and potential of different self-assembly techniques are also discussed.