Providing optimal operating conditions is one of the major challenges for effective heating or cooling systems. Moreover, proper adjustment of the heat transfer fluid is also important from the viewpoint of the correct operation, maintenance, and cost efficiency of these systems. Therefore, in this paper, a detailed review of recent work on the subject of conventional and novel heat transfer fluid applications is presented. Particular attention is paid to the novel nanoparticle-based materials used as heat transfer fluids. In-depth comparison of environmental, technical, and economic characteristics is discussed. Thermophysical properties including thermal conductivity, specific heat, density, viscosity, and Prandtl number are compared. Furthermore, the possible benefits and limitations of various transfer fluids in the fields of application are taken into account.