Power quality (PQ) issue has attained considerable attention in the last decade due to large penetration of power electronics based loads and/or microprocessor based controlled loads. On one hand these devices introduce power quality problem and on other hand these mal-operate due to the induced power quality problems. PQ disturbances/events cover a broad frequency range with significantly different magnitude variations and can be non-stationary, thus, accurate techniques are required to identify and classify these events/disturbances. This paper presents a comprehensive overview of different techniques used for PQ events' classifications. Various artificial intelligent techniques which are used in PQ event classification are also discussed. Major Key issues and challenges in classifying PQ events are critically examined and outlined.