In our present paradigm of galaxy formation, the onset of structure is brought about via the gravitational collapse of dark matter, which subsequently acts as the scaffolding for the visible universe. Decades of numerical simulations have established several features of the dark matter model: the formation of haloes, and how their structure and abundance are influenced by the particle physics of the underlying model. In particular, the nature of the smallest objects in the universe—haloes or galaxies—may be key to unravelling several mysteries underpinning our cosmological model: What are the properties of the dark matter? How might we detect it? How do galaxies form? And is the Milky Way, in some way, unique? In this talk, I will demonstrate how the answers to these questions necessitate an inherently multi-scale approach, requiring a continued symbiosis between observation and theory. I will discuss some of the successes in our efforts, but also highlight some of the outstanding issues we are confronted with. Finally, I will outline how the unprecedented confluence of new experiments that are set to come online in the present decade will drive us closer than ever to constraining our cosmological model.