This thesis presents a theoretical study of materials under high pressure using ab initio lattice dynamics based on density functional theory and density functional perturbation theory using both super-cell and linear response approach. Ab initio lattice dynamics using super-cell approach is applied to compare our theoretical predictions with experimental findings. Phonon dispersion curves of fcc α-γ cerium are calculated and compared with inelastic X-ray scattering data. Pressure dependency of phonon density of states in two cubic phases TiO2 allows us to assign the observed cubic phase in experiments to be of fluorite rather than pyrite structure. Dynamical stability of cotunnite TiO2 phase at low pressure can explain the observed quenching phenomena in experiments. Our calculated O2 vibron mode in both ε-ζ phases of solid oxygen supports the hypothesis that both phases are iso-structural. Hydrogen-dense materials attract great attention not only because they open a path to study phenomena related to metallization (superconductivity) of solid hydrogen but also because they are closely related to important industrial applications (hydrogen storage). Using linear response method, we find that metallic fcc-AlH3 is dynamically stabilized in the range of 72-106 GPa and can persist at ambient pressure if finite temperature effects are considered. For SiH4, we test dynamical stability, Raman spectra, zero point energy, and utilize GW calculations for self energy correction. We find that a metallic tetragonal phase of SiH4 can be assigned to the experimentally observed one. Our ab initio lattice dynamics calculations based on density functional perturbation theory predict that fcc-YH3 is a pressure-induced superconductor with a high transition temperature of 40 K at 17.7 GPa. With increasing pressure this material undergoes a superconductor-metal-superconductor transition and the underlying mechanism of this transition can simultaneously explains also the observed metal-insulator transition at 25 GPa in YH3-δ.