Entropy plays a key role in the self-assembly of colloidal particles. Specifically, in the case of hard particles, which do not interact or overlap with each other during the process of self-assembly, the free energy is minimized due to an increase in the entropy of the system. Understanding the contribution of entropy and engineering it is increasingly becoming central to modern colloidal self-assembly research, because the entropy serves as a guide to design a wide variety of self-assembled structures for many technological and biomedical applications. In this work, we highlight the importance of entropy in different theoretical and experimental self-assembly studies. We discuss the role of shape entropy and depletion interactions in colloidal self-assembly. We also highlight the effect of entropy in the formation of open and closed crystalline structures, as well as describe recent advances in engineering entropy to achieve targeted self-assembled structures.