It is well-known that on-site measurements are suitable for verifying the actual thermal performance of buildings. Performance assessed in situ, under actual thermal conditions, can substantially vary from the theoretical values. Therefore, experimental measurements are essential for better comprehending the thermal behavior of building components, by applying measurement systems and methods suitable to acquire data related to temperatures, heat flows and air speeds both related to the internal and external environments. These data can then be processed to compute performance indicators, such as the well-known thermal transmittance (U-value). This review aims at focusing on two experimental techniques: the widely used and standardized heat flow meter (HFM) method and the quite new thermometric (THM) method. Several scientific papers were analyzed to provide an overview on the latest advances related to these techniques, thus providing a focused critical review. This paper aims to be a valuable resource for academics and practitioners as it covers basic theory, in situ measurement equipment and criteria for sensor installation, errors, and new data post-processing methods.