The physical properties of hot dense matter over а broad domain оf the phase diagram are of immediate interest in astrophysics, planetary physics, power engineering, controlled thermonuclear fusion, impulse technologies, enginery, and several special applications. The use of intense shock waves in dynamic physics and high-pressure chemistry has made the exotic high-energy-density states of matter а subject of laboratory experiments and enabled advancing by many orders of magnitude along the pressure scale to range into the megabars and even gigabars. The present report reviews the latest experimental research involving shock waves in nonideal plasmas under conditions of strong collective interparticle interaction. The results of investigations into the thermodynamic, transport, and optical properties of strongly compressed hot matter, as well as into its composition and conductivity, are discussed. Experimental techniques for high energy density cumulation, the drivers of intense shock waves, and methods for the fast diagnostics of high-energy plasma are considered. Also discussed are compression-stimulated physical effects: pressure-induced ionization, plasma phase transitions, the deformation of bound states, plasma blooming (’transparentization’ of plasma), etc. Suggestions for future research are put forward.