Reliable and efficient trajectory generation methods are a fundamental need for autonomous dynamical systems. The goal of this article is to provide a comprehensive tutorial of three major convex optimization-based trajectory generation methods: lossless convexification (LCvx) and two sequential convex programming algorithms, successive convexification (SCvx) and guaranteed sequential trajectory optimization (GuSTO). Trajectory generation is defined as the computation of a dynamically feasible state and control signal that satisfies a set of constraints while optimizing key mission objectives. The trajectory generation problem is almost always nonconvex, which typically means that it is difficult to solve efficiently and reliably onboard an autonomous vehicle. The three algorithms that we discuss use problem reformulation and a systematic algorithmic strategy to nonetheless solve nonconvex trajectory generation tasks using a convex optimizer. The theoretical guarantees and computational speed offered by convex optimization have made the algorithms popular in both research and industry circles. The growing list of applications includes rocket landing, spacecraft hypersonic reentry, spacecraft rendezvous and docking, aerial motion planning for fixed-wing and quadrotor vehicles, robot motion planning, and more. Among these applications are high-profile rocket flights conducted by organizations such as NASA, Masten Space Systems, SpaceX, and Blue Origin. This article equips the reader with the tools and understanding necessary to work with each algorithm and know their advantages and limitations. An open source tool called the SCP Toolbox accompanies the article and provides a practical implementation of every numerical example. By the end of the article, the reader will not only be ready to use the lossless convexification and sequential convex programming algorithms, but also to extend them and to contribute to their many exciting modern applications.