As an effect of climate change, cities need detailed information on urban climates at decision scale that cannot be easily delivered using current observation networks, nor global and even regional climate models. A review is presented of the recent literature and recommendations are formulated for future work. In most cities, historical observational records are too short, discontinuous, or of too poor quality to support trend analysis and climate change attribution. For climate modeling, on the other hand, specific dynamical and thermal parameterization dedicated to the exchange of water and energy between the atmosphere and the urban surfaces have to be implemented. Therefore, to fully understand how cities are impacted by climate change, it is important to have (1) simulations of the urban climate at fine spatial scales (including coastal hazards for coastal cities) integrating global climate scenarios with urban expansion and population growth scenarios and their associated uncertainty estimates, (2) urban climate observations, especially in Global South cities, and (3) spatial data of high resolution on urban structure and form, human behavior, and energy consumption.