This review article presents the progress made over the last decade, since the introduction of effective field theories (EFTs) into post-Newtonian (PN) gravity. These have been put forward in the context of gravitational waves (GWs) from the compact binary inspiral. The mature development of this interdisciplinary field has resulted in significant advances of wide interest to physics at several levels serving various purposes. The field has firmly demonstrated, that seemingly disparate physical domains, such as quantum field theory and classical gravity, are related, and that the EFT framework is a universal one, where it has been proven to supply a robust methodology to boost progress in the development of PN theory. In this review emphasis was put on an accessible pedagogic presentation of the field theoretic aspects of the subject, with the view, that these are in fact common across the whole of theoretical physics, rather than in their original narrow quantum context. The review is aimed at a broad audience, from general readers new to the field, to specialists and experts in related subjects. The review begins with an overview of the introduction of EFTs into classical gravity and their development. Then, the basic ideas, which form the conceptual foundation of EFTs, are provided, and the strategy of a multi-stage EFT framework, which is utilized for the PN binary inspiral problem, is outlined. The main body of the review is then dedicated to presenting in detail the study of each of the effective theories at each of the intermediate scales in the problem, up to the actual GW observables. First, the EFT for a single compact object is considered, from which one proceeds to the EFT of a compact binary system, viewed as a composite particle with internal binding interactions. Finally, one arrives at the effective theory of the time-dependent multipole moments of the radiating system. The review is concluded with the multiple prospects of building on the progress in the field, and using further modern field theory insights and tools, to specifically address the study of GWs, as well as to broadly expand our fundamental understanding of gauge and gravity theories across the classical and quantum regimes.