In much of the literature on function approximation, the function is assumed to be defined on some known domain, such as a cube or a sphere. In practice, the data might not be dense on these domains, and therefore, the approximation theory results are observed to be too conservative. In manifold learning, one assumes instead that the data is sampled from an unknown manifold; i.e., the manifold is defined by the data itself. Function approximation on this unknown manifold is then a two stage procedure: first, one approximates the Laplace-Beltrami operator (and its eigen-decomposition) on this manifold using a graph Laplacian, and next, approximates the target function using the eigen-functions. Alternatively, one estimates first some atlas on the manifold and then uses local approximation techniques based on the local coordinate charts. In this talk, we propose a more direct approach to function approximation on \emph{unknown}, data defined manifolds without computing the eigen-decomposition of some operator or an atlas for the manifold, and without any kind of training in the classical sense. Our constructions are universal; i.e., do not require the knowledge of any prior on the target function other than continuity on the manifold. We estimate the degree of approximation, and discuss some recent applications of our approach.