We report some selected recent developments in the finite-size scaling theory of critical phenomena occurring in systems with strong spatial anisotropies. Such systems are characterized by correlation lengths divergent with different exponents (ν⊥, ν||) along different directions. Attention is focused on the driven diffusive lattice gas that exhibits a second order nonequilibrium phase transition. We present in detail the phenomenology and its comparison with computer simulation. Novel features of finite-size effects in anisotropic nonequilibrium systems are emphasized.