This review focuses on recent developments on studying synthetic spin-orbit (SO) coupling in ultracold atomic gases. Two types of SO coupling are discussed. One is Raman process induced coupling between spin and motion along one of the spatial directions, and the other is Rashba SO coupling. We emphasize their common features in both single-particle and two-body physics and their consequences in many-body physics. For instance, single particle ground state degeneracy leads to novel features of superfluidity and richer phase diagram; increased low-energy density-of-state enhances interaction effects; the absence of Galilean invariance and spin-momentum locking give rise to intriguing behaviors of superfluid critical velocity and novel quantum dynamics; and mixing of two-body singlet and triplet states yields novel fermion pairing structure and topological superfluids. With these examples, we show that investigating SO coupling in cold atom systems can enrich our understanding of basic phenomena such as superfluidity, provide a good platform for simulating condensed matter states such as topological superfluids, and more importantly, result in novel quantum systems such as SO coupled unitary Fermi gas or high spin quantum gases. Finally we also point out major challenges and possible future directions.