The concept of skyrmion is proposed by Tony Skyrme, a British particle physicist, to describe a state of particles as a topological soliton. Magnetic skyrmion is a novel spin structure with topological behavior, whose size is on a nanometer scale. The space between skyrmions is tunable from a few nanometers to micrometer. Magnetic skyrmion can be stable in a large temperature range, from lower temperatures, to room temperature, and even to higher temperature. The materials with magnetic skyrmions include not only low temperature B20-type ferromagnets with centrosymmetry breaking and weak ferromagnets with helical magnetic ordering, but also the hexagonal MnNiGa alloy and ferromagnetic multilayers over room temperature. By using topological spin structure of skyrmions, an electrical current can be applied to driving or flipping the skyrmions, similar to the spin transfer torque effect in spin-valves and magnetic tunnel junctions. The critical current density is on the order of 102 A/cm2, which is five orders lower than that in magnetic multilayered structures such as 107 A/cm2. This critical value is much lower than the channel current density in Si-based semiconductor technology, thus leading to great potential applications in the future magnetic information devices. In this review paper, we first introduce the discovery, a brief development history of magnetic skyrmions. Then, we summarize the materials with skyrmion spin structures, focusing on the key physical properties. Finally, we mention the recent progress of the multi-field (such as magnetic field, electrical current, and temperature) control on magnetic skyrmions in hexagonal MnNiGa alloy and Pt/Co/Ta magnetic multilayers, together with the creation, annihilation, and dynamic behavior of skyrmions.