The worldwide incidence of skin cancer has risen rapidly in the last decades, becoming one in three cancers nowadays. Currently, a person has a 4% chance of developing melanoma, the most aggressive form of skin cancer, which causes the greatest number of deaths. In the context of increasing incidence and mortality, skin cancer bears a heavy health and economic burden. Nevertheless, the 5-year survival rate for people with skin cancer significantly improves if the disease is detected and treated early. Accordingly, large research efforts have been devoted to achieve early detection and better understanding of the disease, with the aim of reversing the progressive trend of rising incidence and mortality, especially regarding melanoma. This paper reviews a variety of the optical modalities that have been used in the last years in order to improve non-invasive diagnosis of skin cancer, including confocal microscopy, multispectral imaging, three-dimensional topography, optical coherence tomography, polarimetry, self-mixing interferometry, and machine learning algorithms. The basics of each of these technologies together with the most relevant achievements obtained are described, as well as some of the obstacles still to be resolved and milestones to be met.