Extremal black holes are special solutions to the Einstein field equations characterized by maximal spin or charge relative to their mass. In the celebrated thermodynamic analogy of black hole mechanics, they are distinguished by having exactly zero temperature. In this talk, I will present a proof showing that extremal black holes can form dynamically from gravitational collapse rather than appearing only as inaccessible limiting objects in parameter space. I will then introduce a series of recently formulated conjectures, together with partial results, that aim to clarify the role of extremal black holes in gravitational collapse, their connection to threshold phenomena, and critical behavior in black hole formation. This talk is based on joint work with Y. Angelopoulos (BIMSA) and R. Unger (UC Berkeley).