Heating, Ventilating, and Air Conditioning (HVAC) systems are the major energy-consuming devices in buildings. Nowadays, due to the high demand for HVAC system installation in buildings, designing an effective controller in order to decrease the energy consumption of the devices while meeting the thermal comfort demands in buildings are the most important goals of control designers. The purpose of this article is to investigate the different control methods for Heating, Ventilating, and Air Conditioning and Refrigeration (HVAC & R) systems. The advantages and disadvantages of each control method are discussed and finally the Fuzzy Cognitive Map (FCM) method is introduced as a new strategy for HVAC systems. The FCM method is an intelligent and advanced control technique to address the nonlinearity, Multiple-Input and Multiple-Output (MIMO), complexity and coupling effect features of the systems. The significance of this method and improvements by this method are compared with other methods.