The increase in energy demand and reduction in resources for conventional energy production along with various environmental impacts, promote the use of renewable energy for electricity generation and other energy-need applications around the world. Wind power has emerged as the biggest renewable energy source in the world, whose potential, when employed properly, serves to provide the best power output. In order to achieve self-sustenance in energy supply and to match the critical needs of impoverished and developing regions, wind power has proven to be the best solution. However, wind power is intermittent and unstable in nature and hence creates lot of grid integration and power fluctuation issues, which ultimately disturb the stability of the grid. In such cases, energy storage technologies are highly essential and researchers turned their attention to find efficient ways of storing energy to achieve maximum utilization. The use of batteries to store wind energy is very expensive and not practical for wind applications. Compressed Air Energy Storage (CAES) is found to be a viable solution to store energy generated from wind and other renewable energy systems. A detailed review on various aspects of a CAES system has been made and presented in this paper which includes the thermodynamic analysis, modeling and simulation analysis, experimental investigation, various control strategies, some case studies and economic evaluation with the role of energy storage towards smart grid and poly-generation.