This article provides a pedagogical review on Klein tunneling in graphene, i.e. the peculiar tunneling properties of two-dimensional massless Dirac electrons. We consider two simple situations in detail: a massless Dirac electron incident either on a potential step or on a potential barrier and use elementary quantum wave mechanics to obtain the transmission probability. We emphasize the connection to related phenomena in optics, such as the Snell-Descartes law of refraction, total internal reflection, Fabry-P\'erot resonances, negative refraction index materials (the so called meta-materials), etc. We also stress that Klein tunneling is not a genuine quantum tunneling effect and that it is not paradoxical as it can be understood intuitively from simple physical arguments. An important role in Klein tunneling is played by the conservation of (sublattice) pseudo-spin, which is discussed in detail. The current experimental status is also reviewed.