Microbial fuel cells (MFCs) are electrochemical devices focused on bioenergy generation and organic matter removal carried out by microorganisms under anoxic environments. In these types of systems, the anodic oxidation reaction is catalyzed by anaerobic microorganisms, while the cathodic reduction reaction can be carried out biotically or abiotically. Membranes as separators in MFCs are the primary requirements for optimal electrochemical and microbiological performance. MFC configuration and operation are similar to those of proton-exchange membrane fuel cells (PEMFCs)—both having at least one anode and one cathode split by a membrane or separator. The Nafion^® 117 (NF-117) membrane, made from perfluorosulfonic acid, is a membrane used as a separator in PEMFCs. By analogy of the operation between electrochemical systems and MFCs, NF-117 membranes have been widely used as separators in MFCs. The main disadvantage of this type of membrane is its high cost; membranes in MFCs can represent up to 60% of the MFC’s total cost. This is one of the challenges in scaling up MFCs: finding alternative membranes or separators with low cost and good electrochemical characteristics. The aim of this work is to critically review state-of-the-art membranes and separators used in MFCs. The scope of this review includes: (i) membrane functions in MFCs, (ii) most-used membranes, (iii) membrane cost and efficiency, and (iv) membrane-less MFCs. Currently, there are at least 20 different membranes or separators proposed and evaluated for MFCs, from basic salt bridges to advanced synthetic polymer-based membranes, including ceramic and unconventional separator materials. Studies focusing on either low cost or the use of natural polymers for proton-exchange membranes (PEM) are still scarce. Alternatively, in some works, MFCs have been operated without membranes; however, significant decrements in Coulombic efficiency were found. As the type of membrane affects the performance and total cost of MFCs, it is recommended that research efforts are increased in order to develop new, more economic membranes that exhibit favorable properties and allow for satisfactory cell performance at the same time. The current state of the art of membranes for MFCs addressed in this review will undoubtedly serve as a key insight for future research related to this topic.