Current problems of the theory of multiple scattering of electromagnetic waves by discrete random media are reviewed, with an emphasis on densely packed media. All equations presented are based on the rigorous theory of electromagnetic scattering by an arbitrary system of non-spherical particles. The main relations are derived in the circular-polarization basis. By applying methods of statistical electromagnetics to a discrete random medium in the form of a plane–parallel layer, we transform these relations into equations describing the average (coherent) field and equations for the sums of ladder and cyclical diagrams in the framework of the quasi-crystalline approximation. The equation for the average field yields analytical expressions for the generalized Lorentz–Lorenz law and the generalized Ewald–Oseen extinction theorem, which are traditionally used for the calculation of the effective refractive index. By assuming that the particles are in the far-field zones of each other, we transform all equations asymptotically into the well-known equations for sparse media. Specifically, the equation for the sum of the ladder diagrams is reduced to the classical vector radiative transfer equation. We present a simple approximate solution of the equation describing the weak localization (WL) effect (i.e., the sum of cyclical diagrams) and validate it by using experimental and numerically exact theoretical data. Examples of the characteristics of WL as functions of the physical properties of a particulate medium are given. The applicability of the interference concept of WL to densely packed media is discussed using results of numerically exact computer solutions of the macroscopic Maxwell equations for large ensembles of spherical particles. These results show that theoretical predictions for spare media composed of non-absorbing or weakly absorbing particles are reasonably accurate if the particle packing density is less than  30%. However, a further increase of the packing density and/or absorption may cause optical effects not predicted by the low-density theory and caused by near-field effects. The origin of the near-filed effects is discussed in detail.