Conventional band structure calculations in the local density approximation (LDA) [1-3] are highly successful for many materials, but miss important aspects of the physics and energetics of strongly correlated electron systems, such as transition metal oxides and f-electron systems displaying, e.g., Mott insulating and heavy quasiparticle behavior. In this respect, the LDA + DMFT approach which merges LDA with a modern many-body approach, the dynamical mean-field theory (DMFT), has proved to be a breakthrough for the realistic modeling of correlated materials. Depending on the strength of the electronic correlation, a LDA + DMFT calculation yields the weakly correlated LDA results, a strongly correlated metal, or a Mott insulator. In this paper, the basic ideas and the set-up of the LDA + DMFT(X) approach, where X is the method used to solve the DMFT equations, are discussed. Results obtained with X = QMC (quantum Monte Carlo) and X = NCA (non-crossing approximation) are presented and compared, showing that the method X matters quantitatively. We also discuss LDA + DMFT results for two prime examples of correlated materials, i.e., V2O3 and Ce which undergo a Mott-Hubbard metal-insulator and volume collapse transition, respectively.