The transport of sand and dust by wind is a potent erosional force, creates sand dunes and ripples, and loads the atmosphere with suspended dust aerosols. This paper presents an extensive review of the physics of wind-blown sand and dust on Earth and Mars. Specifically, we review the physics of aeolian saltation, the formation and development of sand dunes and ripples, the physics of dust aerosol emission, the weather phenomena that trigger dust storms, and the lifting of dust by dust devils and other small-scale vortices. We also discuss the physics of wind-blown sand and dune formation on Venus and Titan.