The concept of colloidal molecules was first evoked by van Blaaderen in 2003 for describing small non-spherical colloids made of the aggregation of a small number of particles. He predicted original properties to the complex assemblies of such colloids, in particular in optics. This critical review deals with the different strategies reported for creating robust clusters of spherical particles which could mimic the space-filling models of simple conventional molecules. These routes concern either the controlled clustering of preformed colloids directed by coalescence, physical routes, chemical routes, or 2-D/3-D geometrical confinement, or strategies starting from a single colloid which is decorated by satellite colloids by taking advantage of controlled phase separation or nucleation and growth phenomena. These routes are compared from the viewpoint of the accessible shapes, their tunability and scalability (146 references).