Systematic evolution of ligands by exponential enrichment (SELEX) is a well-established and efficient technology for the generation of oligonucleotides with a high target affinity. These SELEX-derived single stranded DNA and RNA molecules, called aptamers, were selected against various targets, such as proteins, cells, microorganisms, chemical compounds etc. They have a great potential in the use as novel antibodies, in cancer theragnostics and in biomedical research. Vast interest in aptamers stimulated continuous development of SELEX, which underwent numerous modifications since its first application in 1990. Novel modifications made the selection process more efficient, cost-effective and significantly less time-consuming. This article brings a comprehensive and up-to-date review of recent advances in SELEX methods and pinpoints advantages, main obstacles and limitations. The post-SELEX strategies and examples of application are also briefly outlined in this review.