Proteins are fascinating supramolecular structures, which are able to recognize ligands transforming binding information into chemical signals. They can transfer information across the cell, can catalyse complex chemical reactions, and are able to transform energy into work with much more efficiency than any human engine. The unique abilities of proteins are tightly coupled with their dynamic properties, which are coded in a complex way in the sequence and carefully refined by evolution. Despite its importance, our experimental knowledge of protein dynamics is still rather limited, and mostly derived from theoretical calculations. I will review here, in a systematic way, the current state-of-the-art theoretical approaches to the study of protein dynamics, emphasizing the most recent advances, examples of use and the expected lines of development in the near future.