The theory of first order Fermi acceleration at collisionless astrophysical shock fronts is reviewed. Observations suggest that shock waves in different astrophysical environments accelerate cosmic rays efficiently. In the first order process, high energy particles diffuse through Alfvén waves that scatter them and couple them to the background plasma. These particles gain energy, on the average, every time they cross the schock front and bounce off approaching scattering centers. Calculations demonstrate that the distribution function transmitted by a plane shock is roughly a power law in momentum with slope similar to that inferred in galactic cosmic ray sources. The generation of the scattering Alfvén waves by the streaming cosmic rays is described and it is argued that the wave amplitude is probably non-linear within sufficiently strong astrophysical shocks. Hydromagnetic scattering can operate on the thermal particles as well, possibly establishing the shock structure. This suggests a model of strong collisionless shocks in which high energy particles are inevitably produced very efficiently. Observable consequences of this model, together with its limitations and some alternatives, are described. Cosmic ray origin and astrophysical shocks can no longer be considered separately.