Building autonomous machines that can explore open-ended environments, discover possible interactions and autonomously build repertoires of skills is a general objective of artificial intelligence. Developmental approaches argue that this can only be achieved by autonomous and intrinsically motivated learning agents that can generate, select and learn to solve their own problems. In recent years, we have seen a convergence of developmental approaches, and developmental robotics in particular, with deep reinforcement learning (RL) methods, forming the new domain of developmental machine learning. Within this new domain, we review here a set of methods where deep RL algorithms are trained to tackle the developmental robotics problem of the autonomous acquisition of open-ended repertoires of skills. Intrinsically motivated goal-conditioned RL algorithms train agents to learn to represent, generate and pursue their own goals. The self-generation of goals requires the learning of compact goal encodings as well as their associated goal-achievement functions, which results in new challenges compared to traditional RL algorithms designed to tackle pre-defined sets of goals using external reward signals. This paper proposes a typology of these methods at the intersection of deep RL and developmental approaches, surveys recent approaches and discusses future avenues.