There have been multiple technological advancements that promise to gradually enable devices to measure and record signals with high resolution and accuracy in the domain of Brain Computer Interfaces (BCI). This review paper provides a comprehensive overview of fNIRS, EEG, and fMRI, including their principles, advantages, limitations, and integration with other modalities for advanced BCIs. The paper highlights the advantages of integrating multiple modalities, such as increased accuracy and reliability, and discusses the challenges and limitations of multimodal integration. Applications of advanced BCIs in clinical, assistive, gaming, and entertainment domains are also discussed. Furthermore, we explain the data acquisition approaches for each of these modalities. We also demonstrate various software programs that help in extracting, cleaning, and refining the data. We conclude this paper with discussion on the available literature on data acquisition approaches and a comparison of the ease of use for each of the modalities.