Since the first identification of the silkworm moth sex pheromone in 1959, significant research has been reported on identifying and unravelling the sex pheromone mechanisms of hundreds of insect species. In the past two decades, the number of research studies on new insect pheromones, pheromone biosynthesis, mode of action, peripheral olfactory and neural mechanisms, and their practical applications in Integrated Pest Management has increased dramatically. An interdisciplinary approach that uses the advances and new techniques in analytical chemistry, chemical ecology, neurophysiology, genetics, and evolutionary and molecular biology has helped us to better understand the pheromone perception mechanisms and its practical application in agricultural pest management. In this review, we present the most recent developments in pheromone research and its application in the past two decades.