Colloidal suspension is composed of particles with sizes between 1 nm and 1 m, suspended in liquid phase. The interaction between the particles consists of a hard core repulsive interaction and other kinds of repulsive and attractive interacions. Hard interaction forbids the particles from occupying the same places, resulting in a depletion effect. When big colloid particles are immersed in a colloid of small particles, each big particle has a depletion layer where the small particles cannot enter due to the hard interaction. The depletion layers of two big particles overlap when they are close enough so that extra free volume of the small particles increases and therefore the entropy of the small particles increase, thus an effective interaction between big particles is induced. This effective interaction is the so-called depletion interaction. In this review the concepts and an intuitive explanation of depletion interaction of colloidal suspensions are presented. The numerical calculation methods, including the acceptance ratio method, Wang-Landau-type method, and density functional theory method, are briefly reviewed. Several useful analytic approximations are presented. Stating from the depletion interaction between two flat plates, the Derjaguin approximation is introduced through the Asakura- Oosawa model. With this approximation, the approximate formulas of depletion interaction between two hard spheres, between a hard sphere and a hard wall, and between a hard sphere and curved hard walls in a small hard sphere colloid are derived. The depletion interaction between two hard spheres in a thin rod colloid and a thin disk colloid are also derived in the Derjaguin approximation.