Self-assembly is the autonomous organization of components into ordered structures without human intervention. Self-assembly has founded the basis for the "bottom-up strategy" of constructing functional and smart nano-materials potentially useful for optical and electronic devices, sensors, catalysts, etc. Among the variety of self-assembled materials, polymer offers an attractive building block for constructing nanostructured materials due to the nanoscale characteristic dimension of polymer molecules. For instance, block copolymers can self-assemble into a series of long-range ordered nanostructures which can be considered as templates for fabricating nanocomposites, nanoporous materials and photonic crystals. In this article, diblock copolymer is taken as the example to demonstrate the rich and complex self-assembly behavior of polymers.