While cold molecule experiments are rapidly moving towards their promised benefits of precision spectroscopy, controllable chemistry, and novel condensed phases, heretofore the field has been greatly limited by a lack of methods to cool and compress chemically diverse species to temperatures below ten millikelvin. While in atomic physics these needs are fulfilled by laser cooling, magneto-optical trapping, and evaporative cooling, until now none of these techniques have been applicable to molecules. In this thesis, two major breakthroughs are reported. The first is the observation of evaporative cooling in magnetically trapped hydroxyl (OH) radicals, which potentially opens a path all the way to Bose-Einstein condensation of dipolar radicals, as well as allowing cold- and ultracold-chemistry studies of fundamental reaction mechanisms. Through the combination of an extremely high gradient magnetic quadrupole trap and the use of the OH Λ-doublet transition to enable highly selective forced evaporation, cooling by an order of magnitude in temperature was achieved and yielded a final temperature no higher than 5 mK. The second breakthrough is the successful application of laser cooling and magneto-optical trapping to molecules. Motivated by a proposal in this thesis, laser cooling of molecules is now known to be technically feasible in a select but substantial pool of diatomic molecules. The demonstration of not only Doppler cooling but also two-dimensional magneto-optical trapping in yttrium (II) oxide, YO, is expected to enable rapid growth in the availability of ultracold molecules—just as the invention of the atomic magneto-optical trap stimulated atomic physics twenty-five years ago.