Collisionless shocks, that is shocks mediated by electromagnetic processes, are customary in space physics and in astrophysics. They are to be found in a great variety of objects and environments: magnetospheric and heliospheric shocks, supernova remnants, pulsar winds and their nebulae, active galactic nuclei, gamma-ray bursts and clusters of galaxies shock waves. Collisionless shock microphysics enters at different stages of shock formation, shock dynamics and particle energization and/or acceleration. It turns out that the shock phenomenon is a multi-scale non-linear problem in time and space. It is complexified by the impact due to high-energy cosmic rays in astrophysical environments. This review adresses the physics of shock formation, shock dynamics and particle acceleration based on a close examination of available multi-wavelength or in situ observations, analytical and numerical developments. A particular emphasis is made on the different instabilities triggered during the shock formation and in association with particle acceleration processes with regards to the properties of the background upstream medium. It appears that among the most important parameters the background magnetic field through the magnetization and its obliquity is the dominant one. The shock velocity that can reach relativistic speeds has also a strong impact over the development of the micro-instabilities and the fate of particle acceleration. Recent developments of laboratory shock experiments has started to bring some new insights in the physics of space plasma and astrophysical shock waves. A special section is dedicated to new laser plasma experiments probing shock physics.