This book's area is special functions of one or several complex variables. Special functions have been applied to dynamics and physics. Special functions such as elliptic or automorphic functions have an algebro-geometric nature. These attributes permeate the book. The "Kleinian sigma function", or "higher-genus Weierstrass sigma function" generalizes the elliptic sigma function. It appears for the first time in the work of Weierstrass. Klein gave an explicit definition for hyperelliptic or genus-three curves, as a modular invariant analogue of the Riemann theta function on the Jacobian (the two functions are equivalent). H.F. Baker later used generalized Legendre relations for meromorphic differentials, and brought out the two principles of the theory: on the one hand, sigma uniformizes the Jacobian so that its (logarithmic) derivatives in one direction generate the field of meromorphic functions on the Jacobian, therefore algebraic relations among them generate the ideal of the Jacobian as a projective variety; on the other hand, a set of nonlinear PDEs (which turns out to include the "integrable hierarchies" of KdV type), characterize sigma. We follow Baker's approach. There is no book where the theory of the sigma function is taken from its origins up to the latest most general results achieved, which cover large classes of curves. The authors propose to produce such a book, and cover applications to integrable PDEs, and the inclusion of related al functions, which have not yet received comparable attention but have applications to defining specific subvarieties of the degenerating family of curves. One reason for the attention given to sigma is its relationship to Sato's tau function and the heat equations for deformation from monomial curves. The book is based on classical literature and contemporary research, in particular our contribution which covers a class of curves whose sigma had not been found explicitly before.