Understanding properties of QCD matter created in ultra-relativistic heavy-ion collisions is a major goal of RHIC and LHC experiments. Suppression of light and heavy flavor observables is a powerful tool to understand these properties and the suppressions of underlying partons appear to suggest a clear hierarchy in the suppression of these observables. However, the measurements show significant qualitative differences between the observed and intuitively expected patterns, in particular for neutral pions and single electrons at RHIC and for charged hadrons and D mesons at LHC, which are denoted as heavy flavor puzzles at RHIC and LHC. In this review, we discuss these puzzles and also summarize evidence that they can be consistently explained within the same theoretical framework.