In this review we try to capture some of the recent excitement induced by experimental developments, but also by a large volume of theoretical and computational studies addressing multi-component nonlinear Schrödinger models and the localized structures that they support. We focus on some prototypical structures, namely the dark-bright and dark-dark solitons. Although our focus will be on one-dimensional, two-component Hamiltonian models, we also discuss variants, including three (or more)-component models, higher-dimensional states, as well as dissipative settings. We also offer an outlook on interesting possibilities for future work on this theme.