Pressure has long been recognized as a fundamental thermodynamic variable, but its application was previously limited by the available pressure vessels and probes. The development of multi-megabar pressure vessels and a battery of associated in-laboratory and synchrotron techniques at the turn of the century have opened a vast new window of opportunities. With the addition of the pressure dimension, we are facing a new world with an order of magnitude more materials to be discovered than all that have been explored at ambient pressure. Pressure drastically and categorically alters all elastic, electronic, magnetic, structural, and chemical properties, and pushes materials across conventional barriers between insulators and superconductors, amorphous and crystalline solids, ionic and covalent compounds, vigorously reactive and inert chemicals, etc. In the process, it reveals surprising high-pressure physics and chemistry and creates novel materials. I will describe the principles and methodology used to reach ultrahigh static pressure, the in situ probes, the physical phenomena to be investigated, the long-pursued goals, the surprising discoveries, and the vast potential opportunities. Examples include the recent advances and surprising findings in high-pressure research of hydrogen, oxygen, iron, and carbon. Overall, this review demonstrates that high-pressure research is a new dimension in physics, chemistry, Earth and materials sciences.