Vertical-cavity surface-emitting lasers (VCSELs) are as sensitive to optical feedback (OF) as edge-emitting lasers as their much higher mirror reflectivity is compensated by the much smaller intracavity round-trip time resulting in a similar OF rate. VCSELs may emit light in multiple transverse modes and may exhibit polarization bistability which adds new features to their behavior when subject to OF. We present a survey on experimental and modeling results for three regimes of OF in VCSELs: long, short, and extremely short external cavities (ECs). We show that for long and short ECs, the Lang-Kobayashi model is in good agreement with experiments on OF-induced polarization switching, mode hopping, and antiphase oscillatory dynamics at the delay time. These last dynamics modify polarization residence-time distribution making it oscillatory. We demonstrate numerically and experimentally coherence resonance in such bistable, time-delayed optical system. We present results on low-frequency fluctuation and pulse-package dynamics in VCSELs and discuss the role of light polarization. We discuss polarization rotating OF for generating high-frequency pulses as a result of EC mode beating. Finally, we demonstrate how OF from extremely short EC can strongly modify VCSEL characteristics and can be used to effectively control their polarization properties by subwavelength changes of the EC length.