In this paper we study the class of so-called privileged words which have been previously considered only a little. We develop the basic properties of privileged words, which turn out to share similar properties with palindromes. Privileged words are studied in relation to previously studied classes of words, rich words, Sturmian words and episturmian words. A new characterization of Sturmian words is given in terms of privileged complexity. The privileged complexity of the Thue-Morse word is also briefly studied.