In order to create immersive experiences in virtual worlds, we need to explore different human senses (sight, hearing, smell, taste, and touch). Many different devices have been developed by both industry and academia towards this aim. In this paper, we focus our attention on the researched area of thermal and wind devices to deliver the sensations of heat and cold against people’s skin and their application to human-computer interaction (HCI). First, we present a review of devices and their features that were identified as relevant. Then, we highlight the users’ experience with thermal and wind devices, highlighting limitations either found or inferred by the authors and studies selected for this survey. Accordingly, from the current literature, we can infer that, in wind and temperature-based haptic systems (i) users experience wind effects produced by fans that move air molecules at room temperature, and (ii) there is no integration of thermal components to devices intended for the production of both cold or hot airflows. Subsequently, an analysis of why thermal wind devices have not been devised yet is undertaken, highlighting the challenges of creating such devices.