An expression quantitative trait locus (eQTL) is a chromosomal region where genetic variants are associated with the expression levels of certain genes that can be both nearby or distant. The identifications of eQTLs for different tissues, cell types, and contexts have led to better understanding of the dynamic regulations of gene expressions and implications of functional genes and variants for complex traits and diseases. Although most eQTL studies to date have been performed on data collected from bulk tissues, recent studies have demonstrated the importance of cell-type-specific and context-dependent gene regulations in biological processes and disease mechanisms. In this review, we discuss statistical methods that have been developed to enable the detections of cell-type-specific and context-dependent eQTLs from bulk tissues, purified cell types, and single cells. We also discuss the limitations of the current methods and future research opportunities.