The absence of energy dissipation leads to an intriguing out-of-equilibrium dynamics for ultracold polar gases in optical lattices, characterized by the formation of dynamically-bound on-site and inter-site clusters of two or more particles, and by an effective blockade repulsion. These effects combined with the controlled preparation of initial states available in cold gases experiments can be employed to create interesting out-of-equilibrium states. These include quasi-equilibrated effectively repulsive 1D gases for attractive dipolar interactions and dynamically-bound crystals. Furthermore, non-equilibrium polar lattice gases can offer a promising scenario for the study of many-body localization in the absence of quenched disorder. This fascinating out-of-equilibrium dynamics for ultra-cold polar gases in optical lattices may be accessible in on-going experiments.