The physics of materials with strongly correlated electrons is one of the most exciting topics of present-day theoretical and experimental solid-state research. A wide variety of interesting phenomena, among them metal-insulator transitions, the giant and colossal magnetoresistance effect and heavy-fermion behavior, can be attributed to electronic correlations. One focus of current research is on transition metals and especially transition metal oxides due to the diversity of correlation phenomena found in these systems. In this thesis, the physics of strongly correlated transition metal oxide systems is investigated with the LDA+DMFT approach. This method combines the advantages of the local density approximation (LDA), which provides a realistic ab initio description for many materials, with the correct treatment of the local correlations within dynamical mean-field theory (DMFT). The self-consistent equations of the DMFT are solved with an auxiliary-field quantum Monte Carlo algorithm. In particular, the metallic and insulating phase of V2O3 and the peculiarities of its metal-insulator transition are explored. Furthermore, the strongly correlated metals SrVO3 and CaVO3 are studied, as well as LiV2O4 which is the first d-electron system found to exhibit heavy-fermion behavior. Where possible, the theoretical results are compared with recent experimental data.