An analysis of the current state of the plasma focus (PF) research is presented. Some new opportunities for the use of PF in studies on high-energy-density physics are discussed. The main attention is paid to the results obtained on one of the world's largest PF-type facilities PF-3 at the Kurchatov Institute. Experimental results of the studies of foam liners and the tungsten wire arrays dynamics in the PF discharge are presented. A new approach to load formation using a cloud of free fine-disperse particles of condensed matter (dust) is proposed. Being a source of additional mass, the dust particles essentially affect the development of MHD and RT instabilities. It is manifested, in particular, in an increase in MHD stability. The main tendencies in PF research, including application problems, are discussed.