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This question here addresses the controversy of whether humans are more closely related to bonobos or chimps.

My question is - which group of animals are are closest relatives, beyond primates? Or which group of animals are all primates most closely related to?

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Short answer

It is a flying lemur (there exist only 2 species). Flying lemurs and primates are together a sister clade to treeshrews.

Easy source of information

Have a look at the post The best free and most up to date phylogenetic tree on the internet?.

In short, you can have a look at onezoom.org, tolweb.org or opentreeoflife.org by yourself!

Tree of life of placental mammals

Here is a screenshot coming from tolweb.org.

enter image description here

In this tree, there are polytomies showing everything that is unknown. This tree was last updated in 1995 and there are also clades that we now know were misplaced including the bats (as commented by @NoahSnyder). It is not handy to make a good screenshot from onezoom.org or opentreeoflife.org so I just welcome you to explore the tree of life by yourself on onezoom.org or opentreeoflife.org to get a better representation of the reality.

Tree of Supraprimates

Supraprimates (=Euarchontoglires) include all primates and a few of the most related clades. Stealing the tree from @Gwenn's answer, here is the tree of Supraprimates

[enter image description here

Here is the original tree from Janecka et al. (2007)

enter image description here

Here we see that flying lemurs (=Dermoptera) is a sister clade of primates (ignoring the extinct plesiadapiformes) and treeshrews (=Scandentia) are a sister clade of flying lemurs and primates together. Below I briefly talk about these three clades and about their position on the phylogenetic tree.

Flying lemurs

Flying lemurs is a small clade that contains only two extant species, both found in the family of colugos. Note that flying lemurs are not lemurs (which is confusing). Here is what a flying lemur look like

enter image description here

The position of flying lemurs on the phylogenetic tree has always been quite uncertain. In the tolweb.org screenshot above, flying lemurs (=Dermoptera) is a sister clade to bats (=Chiroptera) and together they are sister clade to treeshrews and primates. However, Janecka et al. (2007) placed flying lemurs as the sister clade to primates. Together flying lemurs and primates are a sister clade to tree shrews.

Tree shrews

Treeshrews is a clade of 20 species native from southeast Asia. Before, the era of phylogenetic comparisons, treeshrews were mistakenly thought to be part of the Insectivora.

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Extinct clade of Plesiadapiforms

Although they are represented above as a sister clade of primates, it is possible that they the fossil we found are just individuals coming from the lineage giving rise to primates. As such, they would not be a clade aside from primates. Below is an artistic representation of what they may have looked like.

enter image description here

Introduction on phylogenetic trees

As the question is quite introductory, I presume you might want to improve your understanding of phylogenetic trees. You might want to make sure, you understand what a monophyletic group (=clade) is and understand why a chimpanzee and a human are both equally related to any species of treeshrews.

Here are two sources of information for you:

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The most closely related animals to primates are colugos (order Dermoptera).

The next most closely related after colugos are tree shrews (order Scandentia).

The next most closely related after tree shrews are rodents (order Rodentia) and lagomorphs (order Lagomorpha) (rabbits, hares, and pikas).

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Sources: Wikipedia's section on the evolutionary history of primates and onezoom.org.

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    $\begingroup$ Where did you see that Dermoptera is sister clade to primates? Do you have a reference for that? Note that colugo is a family made of two extant species only. This family is nested within Dermoptera and therefore a colugo is equally related to any primate than any other dermoptera $\endgroup$
    – Remi.b
    Commented Apr 12, 2016 at 3:59
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    $\begingroup$ @Remi.b Just Wikipedia's section on the evolutionary history of primates. Wikipedia in turn cites this Science article from 2007 (which I sadly cannot read to verify because I don't have a subscription). And from what I understand, colugos are the only extant members of Dermoptera. $\endgroup$
    – Gwen
    Commented Apr 12, 2016 at 4:10
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    $\begingroup$ @Remi.b: The position of colugos (Dermoptera) in the evolutionary tree has traditionally been somewhat uncertain, but recent studies (such as the 2007 Science article by Janečka et al. mentioned by Gwenn, PDF here) do apparently support their position as the closest surviving sister clade to the primates. $\endgroup$
    – Ilmari Karonen
    Commented Apr 12, 2016 at 12:19
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    $\begingroup$ Oh, I just realized that Dermoptera are also called flying lemur (which is a confusing term)! As a consequence, it is not so much an issue of definition as I suggested rather than an uncertainty about the position of flying lemurs on the tree. I will update my answer. Thanks for your help. +1 on answer and comments! $\endgroup$
    – Remi.b
    Commented Apr 12, 2016 at 14:44

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