Norms prescribe how to make decisions in social situations and play a crucial role in sustaining cooperative relationships and coordinating collective action. However, following norms often requires restricting behavior, demanding to curtail selfishness, or suppressing personal goals. This raises the question why people adhere to norms. We review recent theories and empirical findings that aim at explaining why people follow norms even in private, when violations are difficult to detect and are not sanctioned. We discuss theories of norm internalization, social and self-image concerns, and social learning (i.e. preferences conditional on what others do/believe). Finally, we present two behavioral, incentivized tasks that can be used to elicit norms and measure the individual propensity to follow them.