How do I change the cursor between Normal and Insert modes in Vim?

A popular approach to indicate switching to and from Insert mode is toggling the cursorline option, which is responsible for whether the current screen line is highlighted (see :help cursorline):

:autocmd InsertEnter,InsertLeave * set cul!

or, alternatively:

:autocmd InsertEnter * set cul
:autocmd InsertLeave * set nocul

Modify the CursorLine highlighting group to change the styling of the cursor line to your liking (see :help :highlight and :help highlight-groups).

The following works in xterm, urxvt, and other terminal emulators on Linux; iTerm2 on macOS; Git Bash with ConEmu on Windows; and more (see comments):

let &t_SI = "\e[6 q"
let &t_EI = "\e[2 q"

" Optionally reset the cursor on start:
augroup myCmds
au!
autocmd VimEnter * silent !echo -ne "\e[2 q"
augroup END

Other options (replace the number after \e[):

Ps = 0  -> blinking block.
Ps = 1  -> blinking block (default).
Ps = 2  -> steady block.
Ps = 3  -> blinking underline.
Ps = 4  -> steady underline.
Ps = 5  -> blinking bar (xterm).
Ps = 6  -> steady bar (xterm).

---

When you use tmux, it is important to use it like that (without the \<Esc>Ptmux; escape). tmux will keep track of the correct cursor shape when you switch windows/panes.

If it does not work for you, try either to set TERM=xterm-256color before starting tmux, or add this to your .tmux.conf (thanks @Steven Lu):

set -ga terminal-overrides ',*:Ss=\E[%p1%d q:Se=\E[2 q'

If you are using tmux and iTerm2 on macOS,
the following changes the cursor from a block to a cursor and highlights the current line

if exists('$TMUX')
  let &t_SI = "\<Esc>Ptmux;\<Esc>\<Esc>]50;CursorShape=1\x7\<Esc>\\"
  let &t_EI = "\<Esc>Ptmux;\<Esc>\<Esc>]50;CursorShape=0\x7\<Esc>\\"
else
  let &t_SI = "\<Esc>]50;CursorShape=1\x7"
  let &t_EI = "\<Esc>]50;CursorShape=0\x7"
endif
:autocmd InsertEnter * set cul
:autocmd InsertLeave * set nocul

credit: https://gist.github.com/andyfowler/1195581