The volatile compounds present in wines are responsible for the quality of the wine aroma. The analysis of these compounds requires different analytical techniques depending on the type of compounds and their concentration. The importance at sensorial level of each compound should be evaluated by using olfactometric techniques and reconstitution and omission studies. In addition, wine aroma is influenced by other factors such as wine matrix, which could affect the compounds' volatility, decreasing or increasing their concentration in the headspace above the wine. Moreover, when a wine is consumed, several oral physiological variables could affect aroma perception. The focus of this review is to outline the most recent advances in wine aroma analysis and the most innovative techniques in trying to elucidate the main factors that influence wine aroma perception during consumption.