The Brinell, Vickers, Meyer, Rockwell, Shore, IHRD, Knoop, Buchholz, and nanoindentation methods used to measure the indentation hardness of materials at different scales are compared, and main issues and misconceptions in the understanding of these methods are comprehensively reviewed and discussed. Basic equations and parameters employed to calculate hardness are clearly explained, and the different international standards for each method are summarized. The limits for each scale are explored, and the different forms to calculate hardness in each method are compared and established. The influence of elasticity and plasticity of the material in each measurement method is reviewed, and the impact of the surface deformation around the indenter on hardness values is examined. The difficulties for practical conversions of hardness values measured by different methods are explained. Finally, main issues in the hardness interpretation at different scales are carefully discussed, like the influence of grain size in polycrystalline materials, indentation size effects at micro- and nanoscale, and the effect of the substrate when calculating thin films hardness. The paper improves the understanding of what hardness means and what hardness measurements imply at different scales.