Protein physics is grounded on three fundamental experimental facts: protein, this long heteropolymer, has a well defined compact three-dimensional structure; this structure can spontaneously arise from the unfolded protein chain in appropriate environment; and this structure is separated from the unfolded state of the chain by the "all-or-none" phase transition, which ensures robustness of protein structure and therefore of its action. The aim of this review is to consider modern understanding of physical principles of self-organization of protein structures and to overview such important features of this process, as finding out the unique protein structure among zillions alternatives, nucleation of the folding process and metastable folding intermediates. Towards this end we will consider the main experimental facts and simple, mostly phenomenological theoretical models. We will concentrate on relatively small (single-domain) water-soluble globular proteins (whose structure and especially folding are much better studied and understood than those of large or membrane and fibrous proteins) and consider kinetic and structural aspects of transition of initially unfolded protein chains into their final solid ("native") 3D structures.