Surfaces of semiconducting materials excited by femtosecond laser pulses emit electromagnetic waves in the terahertz (THz) frequency range, which by definition is the 0.1–10 THz region. The nature of terahertz radiation pulses is, in the majority of cases, explained by the appearance of ultrafast photocurrents. THz pulse duration is comparable with the photocarrier momentum relaxation time, thus such hot-carrier effects as the velocity overshoot, ballistic carrier motion, and optical carrier alignment must be taken into consideration when explaining experimental observations of terahertz emission. Novel commercially available tools such as optical parametric amplifiers that are capable of generating femtosecond optical pulses within a wide spectral range allow performing new unique experiments. By exciting semiconductor surfaces with various photon energies, it is possible to look into the ultrafast processes taking place at different electron energy levels of the investigated materials. The experimental technique known as the THz excitation spectroscopy (TES) can be used as a contactless method to study the band structure and investigate the ultrafast processes of various technologically important materials. A recent decade of investigations with the THz excitation spectroscopy method is reviewed in this article. TES experiments performed on the common bulk A3B5 compounds such as the wide-gap GaAs, and narrow-gap InAs and InSb, as well as Ge, Te, GaSe and other bulk semiconductors are reviewed. Finally, the results obtained by this non-contact technique on low-dimensional materials such as ultrathin mono-elemental Bi films, InAs, InGaAs, and GaAs nanowires are also presented.