Over the last decades, small-size multi-copter unmanned aerial vehicles (UAVs) have received intensive research interests. These UAVs have shown promising potential for various applications, including aerial photography, farming, delivery, mapping, and surveying. However, for these applications to be successful, autonomous flights in unknown environments are necessary. In this talk, we will discuss our work on developing autonomous UAVs using lidar navigation. Specifically, we will explore recent advancements in lidar technologies and focus on navigation algorithms, including localization, mapping, planning, and control. We will showcase how lidar sensors can be utilized on small UAVs to enable complex navigation tasks, such as high-speed flight navigation, environment exploration, and estimation of agile UAV motion.