In this book we study orthogonal polynomials and their generalizations in spaces with weighted inner products. The impetus for our research was a deep theorem due to M.G. Krein along with subsequent results of Krein and H. Langer. Together with our colleagues, we have worked in this area for nearly fifteen years, and the results of our research are presented here in unified form. We are grateful to the Department of mathematics at the University of Maryland in College Park and to Tel-Aviv University for their support and encouragement. The support of the Silver Family Foundation is also highly appreciated. Introduction The starting point ofthis book is a study ofthe orthogonal polynomials {qn In ?: O} obtained by orthogonalizing the power functions I, Z, z2, ... on the unit circle. The orthogonality is with respect to the scalar product defined by where the weight w is a positive integrable function on the unit circle. These ortho- gonal polynomials are called the Szego polynomials associated with the weight w.