Massive accumulation of the secondary ketokarotenoid astaxanthin is a characteristic stress response of certain microalgal species with Haematococcus pluvialis as an illustrious example. The carotenogenic response confers these organisms a remarkable ability to survive in extremely unfavorable environments and makes them the richest source of natural astaxanthin. Exerting a plethora of beneficial effects on human and animal health, astaxanthin is among the most important bioproducts from microalgae. Though our understanding of astaxanthin biosynthesis, induction, and regulation is far from complete, this gap is filling rapidly with new knowledge generated predominantly by application of advanced "omics" approaches. This review focuses on the most recent progress in the biology of astaxanthin accumulation in microalgae including the genomic, proteomic, and metabolomics insights into the induction and regulation of secondary carotenogenesis and its role in stress tolerance of the photosynthetic microorganisms. Special attention is paid to the coupling of the carotenoid and lipid biosynthesis as well as deposition of astaxanthin in the algal cell. The place of the carotenogenic response among the stress tolerance mechanisms is revisited, and possible implications of the new findings for biotechnological production of astaxanthin from microalgae are considered. The potential use of the carotenogenic microalgae as a source not only of value-added carotenoids, but also of biofuel precursors is discussed.