We study the hydrodynamics of fluids composed of self-spinning objects such as chiral grains or colloidal particles subject to torques. These chiral active fluids break both parity and time-reversal symmetries in their non-equilibrium steady states. As a result, the constitutive relations of chiral active media display a dissipationless linear-response coefficient called odd (or equivalently, Hall) viscosity. This odd viscosity does not lead to energy dissipation, but gives rise to a flow perpendicular to applied pressure. We show how odd viscosity arises from non-linear equations of hydrodynamics with rotational degrees of freedom, once linearized around a non-equilibrium steady state characterized by large spinning speeds. Next, we explore odd viscosity in compressible fluids and suggest how our findings can be tested in the context of shock propagation experiments. Finally, we show how odd viscosity in weakly compressible chiral active fluids can lead to density and pressure excess within vortex cores. © 2017 The Author(s).