While the question in the title has remained unanswered for thousands of years, it is perhaps easier to address the apparently similar question: "What is intelligence for?" We take a pragmatic approach to intelligent behavior, and we examine systems that can pursue goals in their environment, using information gathered from it in order to make useful decisions, autonomously and robustly. We review the fundamental aspects of their behavior, methods to model it and architectures to realize it. The discussion will cover both natural and artificial systems, ranging from single cells to software agents.