Over the last 40 years different thermal energy storage materials have been investigated with the aim of enhancing energy efficiency in buildings, improving systems performance, and increasing the share of renewable energies. However, the main requirements for their efficient implementation are not fully met by most of them. This paper develops a comparative review of thermophysical properties of materials reported in the literature. The results show that the highest volumetric storage capacities for the best available sensible, latent and thermochemical storage materials are 250 MJ/m3, 514 MJ/m3 and 2000 MJ/m3, respectively, corresponding to water, barium hydroxide octahydrate, and magnesium chloride hexahydrate. A group of salt hydrates and inorganic eutectics have been identified as the most promising for the development of competitive thermal storage materials for cooling, heating and comfort applications in the short-term. In the long-term, thermochemical storage materials seem promising. However, additional research efforts are required.