For each 1 ≤ p ≤ ∞, the Hardy space \mathcal{H}_p of Dirichlet series is defined as the image through the Bohr transform of the Hardy space of functions on the infinite-dimensional polytorus. The Dirichlet polynomials are dense in \mathcal{H}_p for every 1 ≤ p < ∞. For p=2 this coincides with the space of Dirichlet series whose coefficients are square-summable. A Dirichlet series with coefficients a_n belongs to\mathcal{H}_p if and only if the series with coefficients a_n/n^ε is in \mathcal{H}_p for every ε >0 and the norms are uniformly bounded. In this case, the series is the limit as ε tends to 0. As a technical tool to see this, vector-valued Dirichlet series (that is, series with coefficients in some Banach space) are introduced, and some basic definitions and properties (such as the convergence abscissas, Bohr-Cahen formulas) are given.