Analyzing individual exposure in urban areas offers several challenges where both the individual’s activities and air pollution levels demonstrate a large degree of spatial and temporal dynamics. This review article discusses the concepts, key elements, current developments in assessing personal exposure to urban air pollution (seventy-two studies reviewed) and respective advantages and disadvantages. A new conceptual structure to organize personal exposure assessment methods is proposed according to two classification criteria: (i) spatial-temporal variations of individuals’ activities (point-fixed or trajectory based) and (ii) characterization of air quality (variable or uniform). This review suggests that the spatial and temporal variability of urban air pollution levels in combination with indoor exposures and individual’s time-activity patterns are key elements of personal exposure assessment. In the literature review, the majority of revised studies (44 studies) indicate that the trajectory based with variable air quality approach provides a promising framework for tackling the important question of inter- and intra-variability of individual exposure. However, future quantitative comparison between the different approaches should be performed, and the selection of the most appropriate approach for exposure quantification should take into account the purpose of the health study. This review provides a structured basis for the intercomparing of different methodologies and to make their advantages and limitations more transparent in addressing specific research objectives.