Ultrafast laser filamentation is a unique nonlinear optical phenomenon that occurs during high-power ultrafast laser propagation in transparent optical media. In filamentation, a plasma channel, whose length can exceed the confocal length limit, is generated and referred to as filament. Following filamentation, very rich optical effects, such as supercontinuum generation, super clean fluorescence emission and amplification, and self-pulse compression, occur. The applications of this filamentation in various domains, ranging from remote sensing to ultrafast laser technology, weather control, laser fabrication, etc., have also been highly anticipated. This review gives a brief introduction of the history of the study of filamentation, including the research progress in experimental techniques, fundamental physics, and control methods. Furthermore, future challenges for the application of filamentation in several representative directions, for example, atmospheric long-distance propagation dynamics, physical chemistry inside filaments, and optimization of THz generation, are highlighted.