The ever-increasing demand for higher-power dense electrical machines has resulted in different electrical, mechanical, and thermal stresses, which can eventually cause machine failure. For this reason, the management of stresses and losses must be thoughtfully investigated to have a highly reliable electrical machine. The literature agrees that winding losses are the dominant loss mechanism in many electrical machines. However, statements vary on how to mitigate these losses along with the aforementioned stresses. To avoid winding failure, a study of the various winding topologies would allow for a better consideration of the challenges and limitations in the performance of different electrical machines. To this aim, this paper introduces a comprehensive review for different winding topologies. Many reported cases in the literature are summarized and compared. Moreover, the utilization of additive manufacturing (AM) in the production of the machine windings is presented, showing a high level of maturity of this emerging technology. Finally, different challenges facing the design of machine windings are introduced including the AC high frequency losses, thermal management, mechanical and acoustic problems, insulation aging, automated production, and winding manufacturability.