When impinging on optical structures or passing in their vicinity, free electrons can spontaneously emit electromagnetic radiation, a phenomenon generally known as cathodoluminescence. Free-electron radiation comes in many guises: Cherenkov, transition, and Smith-Purcell radiation, but also electron scintillation, commonly referred to as incoherent cathodoluminescence. While those effects have been at the heart of many fundamental discoveries and technological developments in high-energy physics in the past century, their recent demonstration in photonic and nanophotonic systems has attracted a great deal of attention. Those developments arose from predictions that exploit nanophotonics for novel radiation regimes, now becoming accessible thanks to advances in nanofabrication. In general, the proper design of nanophotonic structures can enable shaping, control, and enhancement of free-electron radiation, for any of the above-mentioned effects. Free-electron radiation in nanophotonics opens the way to promising applications, such as widely tunable integrated light sources from x-ray to THz frequencies, miniaturized particle accelerators, and highly sensitive high-energy particle detectors. Here, we review the emerging field of free-electron radiation in nanophotonics. We first present a general, unified framework to describe free-electron light-matter interaction in arbitrary nanophotonic systems. We then show how this framework sheds light on the physical underpinnings of many methods in the field used to control and enhance free-electron radiation. Namely, the framework points to the central role played by the photonic eigenmodes in controlling the output properties of free-electron radiation (e.g., frequency, directionality, and polarization). We then review experimental techniques to characterize free-electron radiation in scanning and transmission electron microscopes, which have emerged as the central platforms for experimental realization of the phenomena described in this review. We further discuss various experimental methods to control and extract spectral, angular, and polarization-resolved information on free-electron radiation. We conclude this review by outlining novel directions for this field, including ultrafast and quantum effects in free-electron radiation, tunable short-wavelength emitters in the ultraviolet and soft x-ray regimes, and free-electron radiation from topological states in photonic crystals.