The recent maturation of single-cell RNA sequencing (scRNA-seq) technologies has coincided with transformative new methods to profile genetic, epigenetic, spatial, proteomic and lineage information in individual cells. This provides unique opportunities, alongside computational challenges, for integrative methods that can jointly learn across multiple types of data. Integrated analysis can discover relationships across cellular modalities, learn a holistic representation of the cell state, and enable the pooling of data sets produced across individuals and technologies. In this Review, we discuss the recent advances in the collection and integration of different data types at single-cell resolution with a focus on the integration of gene expression data with other types of single-cell measurement.