Wireless Sensor Networks (WSNs) are important and necessary platforms for the future as the concept “Internet of Things” has emerged lately. They are used for monitoring, tracking, or controlling of many applications in industry, health care, habitat, and military. However, the quality of data collected by sensor nodes is affected by anomalies that occur due to various reasons, such as node failures, reading errors, unusual events, and malicious attacks. Therefore, anomaly detection is a necessary process to ensure the quality of sensor data before it is utilized for making decisions. In this review, we present the challenges of anomaly detection in WSNs and state the requirements to design efficient and effective anomaly detection models. We then review the latest advancements of data anomaly detection research in WSNs and classify current detection approaches in five main classes based on the detection methods used to design these approaches. Varieties of the state-of-the-art models for each class are covered and their limitations are highlighted to provide ideas for potential future works. Furthermore, the reviewed approaches are compared and evaluated based on how well they meet the stated requirements. Finally, the general limitations of current approaches are mentioned and further research opportunities are suggested and discussed.