This paper is a comprehensive overview of embodied AI agents, defining them as AI systems with a physical or virtual form that allows them to interact with their environment and users. It categorizes these agents into virtual, wearable, and robotic types, discussing their unique capabilities and applications across various fields like therapy, entertainment, and labor. A core concept explored is world modeling, which enables agents to understand both the physical world and human mental states for more effective reasoning and interaction, facilitated by multimodal perception (vision, audio, touch) and memory systems. The text also addresses future research directions, including autonomous learning, multi-agent collaboration, and the critical ethical considerations of privacy, security, and anthropomorphism inherent in these increasingly integrated technologies.