Over the past two centuries, intensive empirical research has been conducted on the human brain. As an electroencephalogram (EEG) records millisecond-to-millisecond changes in the electrical potentials of the brain, it has enormous potential for identifying useful information about neuronal transactions. The EEG data can be modelled as graphs by considering the electrode sites as nodes and the linear and nonlinear statistical dependencies among them as edges (with weights). The graph theoretical modelling of EEG data results in functional brain networks (FBNs), which are fully connected (complete) weighted undirected/directed networks. Since various brain regions are interconnected via sparse anatomical connections, the weak links can be filtered out from the fully connected networks using a process called thresholding. Multiple researchers in the past decades proposed many thresholding methods to gather more insights about the influential neuronal connections of FBNs. This paper reviews various thresholding methods used in the literature for FBN analysis. The analysis showed that data-driven methods are unbiased since no arbitrary user-specified threshold is required. The efficacy of four data-driven thresholding methods, namely minimum spanning tree (MST), minimum connected component (MCC), union of shortest path trees (USPT), and orthogonal minimum spanning tree (OMST), in characterizing cognitive behavior of the normal human brain is analysed using directed FBNs constructed from EEG data of different cognitive load states. The experimental results indicate that both MCC and OMST thresholding methods can detect cognitive load-induced changes in the directed functional brain networks.