The new technological advances achieved during the last decade allowed the scientific community to investigate and employ neurophysiological measures not only for research purposes but also for the study of human behaviour in real and daily life situations. The aim of this review is to understand how and whether neuroscientific technologies can be effectively employed to better understand the human behaviour in real decision-making contexts. To do so, firstly, we will describe the historical development of neuromarketing and its main applications in assessing the sensory perceptions of some marketing and advertising stimuli. Then, we will describe the main neuroscientific tools available for such kind of investigations (e.g., measuring the cerebral electrical or hemodynamic activity, the eye movements, and the psychometric responses). Also, this review will present different brain measurement techniques, along with their pros and cons, and the main cerebral indexes linked to the specific mental states of interest (used in most of the neuromarketing research). Such indexes have been supported by adequate validations from the scientific community and are largely employed in neuromarketing research. This review will also discuss a series of papers that present different neuromarketing applications, such us in-store choices and retail, services, pricing, brand perception, web usability, neuropolitics, evaluation of the food and wine taste, and aesthetic perception of artworks. Furthermore, this work will face the ethical issues arisen on the use of these tools for the evaluation of the human behaviour during decision-making tasks. In conclusion, the main challenges that neuromarketing is going to face, as well as future directions and possible scenarios that could be derived by the use of neuroscience in the marketing field, will be identified and discussed.