In this paper, we present a comprehensive survey of privacy-preserving schemes for Smart Grid communications. Specifically, we select and in-detail examine thirty privacy preserving schemes developed for or applied in the context of Smart Grids. Based on the communication and system models, we classify these schemes that are published between 2013 and 2016, in five categories, including, 1) Smart grid with the advanced metering infrastructure, 2) Data aggregation communications, 3) Smart grid marketing architecture, 4) Smart community of home gateways, and 5) Vehicle-to grid architecture. For each scheme, we survey the attacks of leaking privacy, countermeasures, and game theoretic approaches. In addition, we review the survey articles published in the recent years that deal with Smart Grids communications, applications, standardization, and security. Based on the current survey, several recommendations for further research are discussed at the end of this paper.