An early diagnosis and appropriate treatment are crucial in reducing mortality among people suffering from cancer. There is a lack of characteristic early clinical symptoms in most forms of cancer, which highlights the importance of investigating new methods for its early detection. One of the most promising methods is the analysis of volatile organic compounds (VOCs). VOCs are a diverse group of carbon-based chemicals that are present in exhaled breath and biofluids and may be collected from the headspace of these matrices. Different patterns of VOCs have been correlated with various diseases, cancer among them. Studies have also shown that cancer cells in vitro produce or consume specific VOCs that can serve as potential biomarkers that differentiate them from noncancerous cells. This review identifies the current challenges in the investigation of VOCs as potential cancer biomarkers, by the critical evaluation of available matrices for the in vivo and in vitro approaches in this field and by comparison of the main extraction and detection techniques that have been applied to date in this area of study. It also summarises complementary in vivo, ex vivo, and in vitro studies conducted to date in order to try to identify volatile biomarkers of cancer.