We review recent progress in taking the large dimension limit of Einstein's equations. Most of our analysis is classical in nature and concerns situations where there is a black hole horizon although we briefly discuss various extensions that include quantum gravitational effects. The review consists of two main parts: the first a discussion of general aspects of black holes and effective membrane theories in this large dimension limit, and the second a series of applications of this limit to interesting physical problems. The first part includes a discussion of quasinormal modes which leads naturally into a description of effective hydrodynamic-like equations that describe the near horizon geometry. There are two main approaches to these effective theories -- a fully covariant approach and a partially gauge-fixed one -- which we discuss in relation to each other. In the second part we divide the applications up into three main categories: the Gregory-Laflamme instability, black hole collisions and mergers, and the anti-de Sitter/conformal field theory correspondence (AdS/CFT). AdS/CFT posits an equivalence between a gravitational theory and a strongly interacting field theory, allowing us to extend our spectrum of applications to problems in hydrodynamics, condensed matter physics, and nuclear physics. A final, shorter part of the review describes further promising directions where there have been, as yet, few published research articles.