SELEX (Systematic Evolution of Ligands by Exponential Enrichment) is a screening technique that involves the progressive selection of highly specific ligands by repeated rounds of partition and amplification from a large combinatorial nucleic acid library. The products of the selection are called aptamers, which are short single stranded DNA or RNA molecules, binding with high affinity, attributed to their specific three-dimensional shapes, to a large variety of targets, ranging from small molecules to complex mixtures. Various improvement of the original SELEX method described in 1990 have been obtained recently, such as capillary electrophoresis SELEX, Toggle-SELEX, Tailored-SELEX, Photo-SELEX, and others. These new variants greatly shorten time of selection and improve aptamer affinity and specificity. Such aptamers have great potential as detecting and/or diagnostic reagents. Furthermore, some aptamers specifically inhibit biological functions of targeted proteins, and are considered as potent therapeutic lead structures evaluated in preclinical disease models. Recently, one aptamer has been approved by Food and Drug Administration of US for treating age-related macular degeneration. This review presents recent advances in the field of SELEX with special emphasis on applications of aptamers as analytical, diagnostic and therapeutic tools in the central nervous system.