The two main modalities for making broadband phase-sensitive measurements at terahertz frequencies are Vector Network Analyzers (VNA) and Time Domain Spectrometers (TDS). These measuring instruments have separate and fundamentally different operating principles and methodologies, and they serve very different application spaces. The different architectures give rise to different measurement challenges and metrological solutions. This article reviews these two measurement techniques and discusses the different issues involved in making measurements using these systems. Calibration, verification and measurement traceability issues are reviewed, along with other major challenges facing these instrument architectures in the years to come. The differences in, and similarities between, the two measurement methods are discussed and analysed. Finally, the operating principles of ElectroOptic Sampling (EOS) are briefly discussed. This technique has some similarities to TDS and shares application space with the VNA.