Embodied Artificial Intelligence (Embodied AI) is crucial for achieving Artificial General Intelligence (AGI) and serves as a foundation for various applications (e.g., intelligent mechatronics systems, smart manufacturing) that bridge cyberspace and the physical world. Recently, the emergence of Multi-modal Large Models (MLMs) and World Models (WMs) have attracted significant attention due to their remarkable perception, interaction, and reasoning capabilities, making them a promising architecture for embodied agents. In this survey, we give a comprehensive exploration of the latest advancements in Embodied AI. Our analysis firstly navigates through the forefront of representative works of embodied robots and simulators, to fully understand the research focuses and their limitations. Then, we analyze four main research targets: 1) embodied perception, 2) embodied interaction, 3) embodied agent, and 4) sim-to-real adaptation, covering state-of-the-art methods, essential paradigms, and comprehensive datasets. Additionally, we explore the complexities of MLMs in virtual and real embodied agents, highlighting their significance in facilitating interactions in digital and physical environments. Finally, we summarize the challenges and limitations of embodied AI and discuss potential future directions. We hope this survey will serve as a foundational reference for the research community. The associated project can be found at https://github.com/HCPLab-SYSU/Embodied_AI_Paper_List.