With the arrival of the era of gravitational wave astronomy, the strong gravitational field regime will be explored soon in various aspects. In this article, we provide a general review over cylindrical systems in Einstein's theory of general relativity. In particular, we first review the general properties, both local and global, of several important solutions of Einstein's field equations, including the Levi-Civita and Lewis solutions and their extensions to include the cosmological constant and matter fields, and pay particular attention to properties that represent the generic features of the theory, such as the formation of the observed extragalactic jets and gravitational Faraday rotation. We also review studies of cylindrical wormholes, gravitational collapse and hoop conjecture, and polarizations of gravitational waves. In addition, by rigorously defining cylindrically symmetric spacetimes, we clarify various (incorrect) claims existing in the literature, regarding to the generality of such spacetimes.