We review the main aspects of multiple photoionization processes in atoms exposed to intense, short wavelength radiation. The main focus is the theoretical framework for the description of such processes as well as the conditions under which direct multiphoton multiple ionization processes can dominate over the sequential ones. We discuss in detail the mechanisms available in different wavelength ranges from the infrared to the hard X-rays. The effect of field fluctuations, present at this stage in all SASE free-electron-laser (FEL) facilities, as well as the effect of the interaction volume integration, are also discussed.