This pedagogical review covers an unsolved problem in the theory of protoplanetary disks: the growth of dust grains into planetesimals, solids at least a kilometer in size. I summarize timescale constraints imposed on planetesimal formation by circumstellar disk observations, analysis of meteorites, and aerodynamic radial migration. The infall of ≲ meter-sized solids in a hundred years is the most stringent constraint. I review proposed mechanisms for planetesimal formation. Collisional coagulation models are informed by laboratory studies of microgravity collisions. The gravitational collapse (or Safronov-Goldreich-Ward) hypothesis involves detailed study of the interaction between solid particles and turbulent gas. I cover the basics of aerodynamic drag in protoplanetary disks, including radial drift and vertical sedimentation. I describe various mechanisms for particle concentration in gas disks – including turbulent pressure maxima, drag instabilities and long-lived anticylonic vortices. I derive a general result for the minimum size for a vortex to trap particles in a sub-Keplerian disk. Recent numerical simulations demonstrate that particle clumping in turbulent protoplanetary disks can trigger gravitational collapse. I discuss several outstanding issues in the field.