Over the last 20 years quantum walks (QWs) have gained increasing interest in the field of quantum information science and processing. In contrast to classical walkers, quantum objects exhibit intrinsic properties like non-locality and non-classical many-particle correlations, which renders QWs a versatile tool for quantum simulation and computation as well as for a deeper understanding of genuine quantum mechanics. Since they are highly controllable and hardly interact with their environment, photons seem to be ideally suited quantum walkers. In order to study and exploit photonic QWs, lattice structures that allow low loss coherent evolution of quantum states are demanded. Such requirements are perfectly met by integrated optical waveguide devices that additionally allow a substantial miniaturization of experimental settings. Moreover, by utilizing the femtosecond direct laser writing technique three-dimensional waveguide structures are capable of analyzing QWs also on higher dimensional geometries. In this context, advances and findings of photonic QWs are discussed in this review. Various concepts and experimental results are presented covering, such as different quantum transport regimes, the Boson sampling problem, and the discrete fractional quantum Fourier transform.