This work discusses the electronic structure magnetic properties and metal–insulator transition in transition metal oxides (TMO). The unique feature of these compounds related to the fact that the spin, charge and orbital degrees of freedom plays an important role in all physical properties. While the local density approximation is quite reasonable for the electronic structure of a metallic oxide, the additional Hubbard-like correlation is important for the energy spectrum of insulating magnetic oxides. The LDA+U method was proven to be a very efficient and reliable tool in calculating the electronic structure of systems where the Coulomb interaction is strong enough to cause localization of the electrons. It works not only for nearly core-like 4f-orbitals of rare-earth ions, where the separation of the electronic states on the subspaces of the infinitely slow localized orbitals and infinitely fast itinerant ones is valid, but also for such systems as transition metal oxides (NiO). The main advantage of LDA+U method over model approaches is its “first principle” nature with a complete absence of adjustable parameters. At the same time, all the most subtle and interesting many-body effects (such as spectral weight transfer, Kondo resonances, and others) are beyond the LDA+U approach. The LDA+DMFT method seems to be effective and useful to describe the dynamical character using the self-energy instead of the effective exchange-correlation potential acting on the electrons. The results for metal–insulator transition in complex transition metal oxides demonstrate that the dynamical mean field theory gives an opportunity to unify the many-body theory with the practice of first-principle calculations of the electronic structure and properties for real materials.