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Microcontrollers and field-programmable gate arrays have been largely leveraged in scientific instrumentation since decades. Recent advancements in the performance of these programmable digital devices, with hundreds of I/O pins, up to millions of logic cells, >10 Gb/s connectivity, and hundreds of MHz multiple clocks, have been accelerating this trend, extending the range of functions. The diversification of devices from very low-cost 8-bit microcontrollers up to 32-bit ARM-based ones and a system of chip combining programmable logic with processors make them ubiquitous in modern electronic systems, addressing diverse challenges from ultra-low power operation, with sub-µA quiescent current in sleep mode for portable and Internet of Things applications, to high-performance computing, such as in machine vision. In this Review, the main motivations (compactness, re-configurability, parallelization, low latency for sub-ns timing, and real-time control), the possible approaches of the adoption of embedded devices, and the achievable performances are discussed. Relevant examples of applications in opto-electronics, physics experiments, impedance, vibration, and temperature sensing from the recent literature are also reviewed. From this bird-eye view, key paradigms emerge, such as the blurring of boundaries between digital platforms and the pervasiveness of machine learning algorithms, significantly fostered by the possibility to be run in embedded devices for distributing intelligence in the environment. [ABSTRACT FROM AUTHOR]