We propose a theory of double Schubert polynomials $P_w(X,Y)$ for the Lie types $B$, $C$, $D$ which naturally extends the family of Lascoux and Schützenberger in type $A$. These polynomials satisfy positivity, orthogonality and stability properties, and represent the classes of Schubert varieties and degeneracy loci of vector bundles. When $w$ is a maximal Grassmannian element of the Weyl group, $P_w(X,Y)$ can be expressed in terms of Schur-type determinants and Pfaffians, in analogy with the type $A$ formula of Kempf and Laksov....