Despite substantial advances in milk production efficiency of dairy cattle over the last 50 years, rising feed costs remain a significant threat to producer profitability. There also is a greater emphasis being placed on reducing the negative impacts of dairy production on the environment; thus means to lower greenhouse gas (GHG) emissions and nutrient losses to the environment associated with cattle production are being sought. Improving feed efficiency among dairy cattle herds offers an opportunity to address both of these issues for the dairy industry. However, the best means to assess feed efficiency and make genetic progress in efficiency-related traits among lactating cows without negatively impacting other economically important traits is not entirely obvious. In this review, multiple measurements of feed efficiency for lactating cows are described, as well as the heritability of the traits and their genetic and phenotypic correlations with other production traits. The measure of feed efficiency, residual feed intake is discussed in detail in terms of the benefits for its selection, how it could be assessed in large commercial populations, as well as biological mechanisms contributing to its variation among cows, as it has become a commonly used method to estimate efficiency in the recent scientific literature.