Point-contact Andreev reflection spectroscopy (PCAR) has proven to be one of the most powerful tools in the investigation of superconductors, where it provides information on the order parameter (OP), a fundamental property of the superconducting state. In the past 20 years, successive improvements of the models used to analyze the spectra have continuously extended its capabilities, making it suited to study new superconductors with "exotic" properties such as anisotropic, nodal and multiple OPs. In Fe-based superconductors, the complex compound-and doping-dependent Fermi surface and the predicted sensitivity of the OP to fine structural details present unprecedent challenges for this technique. Nevertheless, we show here that PCAR measurements in Fe-based superconductors carried out so far have already greatly contributed to our understanding of these materials, despite some apparent inconsistencies that can be overcome if a homogeneous treatment of the data is used. We also demonstrate that, if properly extended theoretical models for Andreev reflection are used, directional PCAR spectroscopy can provide detailed information not only on the amplitude and symmetry of the OPs, but also on the nature of the pairing boson, and even give some hints about the shape of the Fermi surface.