The recognition of volatile organic compounds (VOCs) involved in insect interactions with plants or other organisms is essential for constructing a holistic comprehension of their role in ecology, from which the implementation of new strategies for pest and disease vector control as well as the systematic exploitation of pollinators and natural enemies can be developed. In the present paper, some of the general methods employed in this field are examined, focusing on their available technologies. An important part of the investigations conducted in this context begin with VOC collection directly from host organisms, using classical extraction methods, by the employment of adsorption materials used in solid-phase micro extraction (SPME) and direct-contact sorptive extraction (DCSE) and, subsequently, analysis through instrumental analysis techniques such as gas chromatography (GC), nuclear magnetic resonance (NMR) and mass spectrometry (MS), which provide crucial information for determining the chemical identity of volatile metabolites. Behavioral experiments, electroantennography (EAG), and biosensors are then carried out to define the semiochemicals with the best potential for performing relevant functions in ecological relationships. Chemical synthesis of biologically-active VOCs is alternatively performed to scale up the amount to be used in different purposes such as laboratory or field evaluations. Finally, the application of statistical analysis provides tools for drawing conclusions about the type of correlations existing between the diverse experimental variables and data matrices, thus generating models that simplify the interpretation of the biological roles of VOCs.