Residual stresses are one of the main factors determining the engineering properties of parts and structural components. This fact plays a significant role, for example, in fatigue of welded elements. Many different methods and variations of methods for measuring residual stresses have been developed to suit various specimen geometries and measurement objectives. The various specific methods have evolved over several decades and their practical applications have greatly benefited from the development of complementary technologies, notably in material cutting, full-field deformation measurement techniques, numerical methods and computing power. These complementary technologies have stimulated advances not only in measurement accuracy and reliability, but also in range of application; much greater detail in residual stresses measurement is now available. The purpose of this review is to classify the different methods and to provide an overview of some of the recent advances in the area of residual stress measurement and act as a summary document to aid technique selection between destructive, semi destructive and non-destructive techniques for residual stresses. For each method scope, physical limitation, advantages and disadvantages are summarized. In the end this paper indicates some promising directions for future developments.