The attempt to integrate photonic dynamic devices with microelectronic circuits is becoming a major scientific as well as industrial trend. Such integration is important since currently processing is mainly done with microelectronic chips but transmission, especially for long distances, is done over optical links. We review the common physical effects that support various photonic dynamic devices and then overview the large variety of existing integrated micro- and nanophotonic dynamic circuits. We provide a general overview of existing devices and technologies and then cover the topic of silicon photonics where various micro- and nanophotonic dynamic modules are integrated on a silicon chip together with nonphotonic microelectronic components. Although the scope of this review paper deals with a large variety of components, we focus mainly on modulators. The different types of modulators that we introduce include electro-optical as well as all-optical devices. These modulators perform a role that is similar to the role of microelectronic transistors, while acting as the first evolution phase towards fully integrated lightwave processing circuits.