This paper focuses on similarity caching systems, in which a user request for an object o that is not in the cache can be (partially) satisfied by a similar stored object o', at the cost of a loss of user utility. Similarity caching systems can be effectively employed in several application areas, like multimedia retrieval, recommender systems, genome study, and machine learning training/serving. However, despite their relevance, the behavior of such systems is far from being well understood. In this paper, we provide a first comprehensive analysis of similarity caching in the offline, adversarial, and stochastic settings. We show that similarity caching raises significant new challenges, for which we propose the first dynamic policies with some optimality guarantees. We evaluate the performance of our schemes under both synthetic and real request traces.