Picocavities are sub-nanometer-scale optical cavities recently found to trap light, which are formed by single-atom defects on metallic facets. Here, we develop simple picocavity models and discuss what is known and unknown about this new domain of atom-scale optics, as well as the challenges for developing comprehensive theories. We provide simple analytic expressions for many of their key properties and discuss a range of applications from molecular electronics to photocatalysis where picocavities are important.