Coarse-grained (CG) models can provide computationally efficient and conceptually simple characterizations of soft matter systems. While generic models probe the underlying physics governing an entire family of free-energy landscapes, bottom-up CG models are systematically constructed from a higher-resolution model to retain a high level of chemical specificity. The removal of degrees of freedom from the system modifies the relationship between the relative time scales of distinct dynamical processes through both a loss of friction and a "smoothing" of the free-energy landscape. While these effects typically result in faster dynamics, decreasing the computational expense of the model, they also obscure the connection to the true dynamics of the system. The lack of consistent dynamics is a serious limitation for CG models, which not only prevents quantitatively accurate predictions of dynamical observables but can also lead to qualitatively incorrect descriptions of the characteristic dynamical processes. With many methods available for optimizing the structural and thermodynamic properties of chemically-specific CG models, recent years have seen a stark increase in investigations addressing the accurate description of dynamical properties generated from CG simulations. In this review, we present an overview of these efforts, ranging from bottom-up parameterizations of generalized Langevin equations to refinements of the CG force field based on a Markov state modeling framework. We aim to make connections between seemingly disparate approaches, while laying out some of the major challenges as well as potential directions for future efforts.