The experimental realization of quantum-degenerate Bose gases made of atoms with sizeable magnetic dipole moments has created a new type of fluid, known as a quantum ferrofluid, which combines the extraordinary properties of superfluidity and ferrofluidity. A hallmark of superfluids is that they are constrained to rotate through vortices with quantized circulation. In quantum ferrofluids the long-range dipolar interactions add new ingredients by inducing magnetostriction and instabilities, and also affect the structural properties of vortices and vortex lattices. Here we give a review of the theory of vortices in dipolar Bose-Einstein condensates, exploring the interplay of magnetism with vorticity and contrasting this with the established behaviour in non-dipolar condensates. We cover single vortex solutions, including structure, energy and stability, vortex pairs, including interactions and dynamics, and also vortex lattices. Our discussion is founded on the mean-field theory provided by the dipolar Gross-Pitaevskii equation, ranging from analytic treatments based on the Thomas-Fermi (hydrodynamic) and variational approaches to full numerical simulations. Routes for generating vortices in dipolar condensates are discussed, with particular attention paid to rotating condensates, where surface instabilities drive the nucleation of vortices, and lead to the emergence of rich and varied vortex lattice structures. We also present an outlook, including potential extensions to degenerate Fermi gases, quantum Hall physics, toroidal systems and the Berezinskii-Kosterlitz-Thouless transition.