Dense suspensions of particles are relevant to many applications and are a key platform for developing a fundamental physics of out-of-equilibrium systems. They present challenging flow properties, apparently turning from liquid to solid upon small changes in composition or, intriguingly, in the driving forces applied to them. The emergent physics close to the ubiquitous jamming transition (and to some extent the glass and gelation transitions) provides common principles with which to achieve a consistent interpretation of a vast set of phenomena reported in the literature. In light of this, we review the current state of understanding regarding the relation between the physics at the particle scale and the rheology at the macroscopic scale. We further show how this perspective opens new avenues for the development of continuum models for dense suspensions.