I've combined two answers into one.
First answer: some results on gradient Ricci solitons including some history. I like very much the answer Otis Chodosh gave. To this I would add the following: Besides the physics literature (e.g., Friedan), the notion of gradient Ricci soliton first appeared in Hamilton's Ricci flow on surfaces paper to deal with the $\chi >0$ case. The idea being that doing geometric analysis, such as in Ricci flow, one often cannot differentiate between smooth manifolds and orbifolds with isolated singularities. When a closed 2-orbifold $M^2$ has $\chi >0$, it may be a bad orbifold (not globally covered by a smooth surface) and in this case there does not exist a constant curvature metric on $M$ (this is not the case when $\chi \leq 0$). For bad 2-orbifolds, the normalized Ricci flow evolves any metric to a shrinking gradient Ricci soliton metric asymptotically; this was proved for initial metric with positive curvature by L.-F. Wu and in the general case by L.-F. Wu and myself.
This is just a selection of results; I'm sure I inadvertently omitted some I wanted to mention. By now, there are many more important papers in the field of Ricci solitons, perhaps too many to mention (I've omitted the Kaehler case; see for example Feldman--Ilmanen--Knopf for constructions with symmetry as Otis Chodosh mentioned as well as Dancer--Wang, Bo Yang, etal.; and the work of Xiaohua Zhu and coauthors in relation to Kaehler--Ricci flow). One just can search arXiv to see most of the recent papers.
Second answer: some statements and questions. This is a supplement to my previous post. Consider a shrinker model $(M^{n},g,f)$, i.e., a complete shrinking gradient Ricci soliton which is a singularity model for some Ricci flow $\tilde{g}(t)$ on a closed manifold $N^{n}$. If $M$ is compact, then it is diffeomorphic to $N$. So one may focus on the case where $M$ is noncompact. Actually, any compact singularity model must be a shrinker by Z.-L. Zhang.
By Perelman's no local collapsing theorem, there exists $\kappa>0$ such that $M$ is $\kappa$-noncollapsed below all scales, i.e., if $R\leq r^{-2}$ in $B_{p}(r)$, then $\operatorname{Vol}B_{p}(r)\geq\kappa r^{n}$. (There is no restriction on the scale since singularities arise from rescaling factors tending to $\infty$.) This implies that steady models have at least linear volume growth; Munteanu and J.-P. Wang have proved this without the model assumption. The following applies to all complete nonflat shrinkers (not necessarily models).
$R>0$ by B.-L. Chen; in fact, $R(x)\geq c(d(x,O)+1)^{-2}$ by L. Ni and B. Wilking and joint with P. Lu and B. Yang. So any asymptotic cone must be nonflat.
$\operatorname{Vol}B_{p}(r)\leq C_{0}r^{n}$ by H.-D. Cao and D.-T. Zhou and Munteanu.
The asymptotic volume ratio $\operatorname{AVR}\doteqdot\lim_{r\rightarrow \infty}\frac{\operatorname{Vol}B_{p}(r)}{r^{n}}$ exists. We have $\operatorname{AVR}>0$ iff $\int^{\infty}\frac{dr}{r\operatorname{Vol} B_{p}(r)}\int_{B_{p}(r)}Rd\mu<\infty$ (intuitively, the average scalar curvature on balls decays at least a little) by joint with P. Lu and B. Yang, based on numerous previous works.
Chen's result is a localization. The other results depend on the following fundamental result of Cao and Zhou: Assume the normalizations $\operatorname{Ric}+\nabla^{2}f=\frac{1}{2}g$ and $R+|\nabla f|^{2}=f$; then $$ \frac{1}{4}(d(x,O)-C_{1})_{+}^{2}\leq f\left( x\right) \leq\frac{1} {4}(d(x,O)+C_{2})^{2}. $$ By Haslhofer and Mueller, if $O$ is a minimum point of $f$, then we may take $C_{1}=5n$ and $C_{2}=\sqrt{2n}$; consequently $C_{0}$ in (2) depends only on $n$. (Could $C_{0}$ be the Euclidean constant?)
One may make an analogy between gradient Ricci solitons (GRS) and Einstein metrics and one might even say that GRS are harder to study than Einstein metrics since they are more general. However, the Einstein special case of shrinkers implies compactness by Myers' theorem. For manifolds with positive (or nonnegative) sectional curvature, Robert Greene wrote: "Thus some tension arises between the necessary existence of rays and the curvature's nonnegativity." Perhaps, similarly, there is some tension between shrinking and noncompactness.
Indeed, for noncompact shrinkers, Cao and Zhou's potential function estimate seems to indicate some sort of rigidity. Furthermore, in arXiv:1307.4746 Brett Kotschwar and Lu Wang prove that any two complete shrinkers with a pair of ends that are asymptotic to the same regular cone must have isometric universal covers.
For a shrinker, must the asymptotic cone always exist, be unique, and be regular? However, one does not know any good bounds on the curvature tensor of a shrinker, let alone quadratic curvature decay. For instance, finite topological type is unknown even though it would follow from an estimate of the form: $R\leq\frac{1}{4+\varepsilon}(d(x,O)+C_{3})^{2}$, where $\varepsilon>0$.
Added December 13, 2013: A note on the etymology of the word "soliton" in the context of Ricci flow. It first appears in Richard Hamilton's "The Ricci flow on surfaces" paper, which discusses the $2$-dimensional rotationally symmetric case, including the cigar soliton and gradient Ricci solitons on $2$-orbifolds. Hamilton likes to joke that Shing-Tung Yau, his colleague at UCSD in the early 80's, was applying for a grant to study a topic related to solitons and hence the coinage of the word soliton. Under the Ricci flow in the space of metrics modulo diffeomorphisms acting by pullback, the cigar soliton is a fixed point. It evolves by "translating" by the pullback by homotheties of $\mathbb{R} ^{2}$ (remove a point to get the cylinder), but it may still be a stretch to say that it is a wave of translation.